beyond and provide, with each event, a novelty score based on the event category and
participants within the past 24 hours. Further, all stories which are identified as being in
the same chain of events are tagged with a unique key that ties them back to the first
notice of the event.
Finding ‘‘liquidity’’ in the news
When constructing trading or investment strategies, distinguishing between companies
that can be considered ‘‘liquid’’ or ‘‘illiquid’’ in the news can be important. Not
surprisingly, studies have shown that a high correlation exists between market capital-
ization and news flow, which may be explained by the increased attention given to large-
cap companies from research analysts and financial journalists. For this reason, the
characteristics of news flow for liquid and illiquid companies may be very different.
For example, most publicly traded companies are covered to some degree during the
earnings reporting season. However, throughout the year small and mid-caps will have
relatively low news volume while large caps will be better covered.
News liquidity can be an important factor when modeling investor decisions about a
stock. News liquidity is about relevant news volume and the roles companies play in
stories—not mere counts of mentions or keywords. Both scheduled and unscheduled
company-related events generate higher news volumes and make stocks more suscept-
ible to price movement. Thus, news liquidity can provide insights not only on directional
price changes, but also on stock volatility, trading volume, or liquidity.
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