robustness checks, models 257
rolling calibration window 78, 79
rolling over futures contracts 275
rumors 4
S&P 500 Index
directional industry strategy 141
empirical results 134135, 138 139
future returns prediction 129 130
information arrival 274
portfolio construction 166, 169
RavenPack systems 132 133
sentiment reversals 231, 233, 236238, 242
VIX contract 253
volatility asymmetry 255 256
S&P 1500 coverage 156
S&P/ASX 200 Index 271, 274 284
salesseeselling behavior
same-day returns 176
scheduled announcementsseesynchronous
news
scheduled news 130
scores
computerization 311
discriminant-based classifiers 55
event studies 153 154
industry sentiment 135137, 144 145
market sentiment 132133, 135, 143 144
news flow datasets 214
novelty scores 309
optimism scores 57 58
pessimism scores 57 58
quantified news 295 296
real-time news analytics 7779, 82
relevance scores 308
sentiment 153154, 156, 311
analytics 301 303
indices 131
reversals 234235, 243
tagged stories 314
scrapers 46 49
search problems, buying 173175, 198, 207
Seasholes, W. 178
seasonality 8, 9, 10
absolute returns 276, 279
foreign exchange 77, 83
intraday stock index 276, 279, 286
Securities and Exchange Commission (SEC)
4 5, 112113, 114 116
Securities Industry Research Centre of
Australasia (SIRCA) 274 275
security returns 248249, 292293, 317
see alsoreturns
segmentation-by-sector parameter 157
selling behavior 173176, 179186, 197 208
semantic analysis 319 322
semi-automation 23, 18
senior management 115116, 122
sentiment
analytics overview 301 303
classifiers 301 303
discriminant-based classification 55 56
equity portfolio risk 289 304
exploratory data analysis 159 161
extreme sentiment days 163 169
Lexalytics analysis 323 325
long-period analysis 151 152
market capitalization 162 163
qualitative textual news 10 15
quantification of 233 235
as signal 308 310
stock picking/ranking 18 19
value measurement 109 128
see alsoinformational content of news;
investors; market sentiment
sentiment error metrics 63
sentiment indices
aggregation performance 64 67
delta 133
future returns prediction 129 131
industry-level 141
vs. price momentum 134 136
universe of companies 133
value 138
sentiment ratio 137 138
sentiment reversals 231 244
sentiment scores 153154, 156, 311
sentiment surprise study 170 171
sentiment threshold adjustment 157 158
September 11th tragedy 251
serial correlation 227228, 248, 252
short-horizon risk forecasts 248, 250 251
short-sale constraints 175, 197201, 243
signal-to-noise ratio 307 310
signals
alpha-generating 149, 153, 309 310
buy signals 231 244
investment 149, 163 168
pure news 155, 169 170
returns 307
trading 224, 228
signed words 54
simulationsseeMonte Carlo simulations;
portfolio simulation
SIRCA (Securities Industry Research Centre
of Australasia) 274 275
Sisk, Jacob 59, 61, 149 172
size partitions, buying 193 197
skewness 237
small-business disclosures 115
social media 4
social media data 150356 Index