66 Quantifying news: Alternative metrics
Table 2.1.Correlations of sentiment and stock returns for MSH35 stocks and the aggregated
MSH35 index. Stock returns (STKRET) are computed from close to close. We compute correla-
tions using data for 88 days in the months of June, July, and August 2001. Return data over the
weekend is linearly interpolated, as messages continue to be posted over weekends. Daily sentiment
is computed from midnight to close of trading at 4 pm (SENTY4pm).Ticker Correlations of SENTY4pmðtÞwithSTKRETðtÞ STKRETðtþ 1 Þ STKRETðt 1 ÞADP 0.086 0.138 0.062
AMAT 0.008 0.049 0.067
AMZN 0.227 0.167 0.161
AOL 0.386 0.010 0.281
BRCM 0.056 0.167 0.007
CA 0.023 0.127 0.035
CPQ 0.260 0.161 0.239
CSCO 0.117 0.074 0.025
DELL 0.493 0.024 0.011
EDS 0.017 0.000 0.078
EMC 0.111 0.010 0.193
ERTS 0.114 0.223 0.225
HWP 0.315 0.097 0.114
IBM 0.071 0.057 0.146
INTC 0.128 0.077 0.007
INTU 0.124 0.099 0.117
JDSU 0.126 0.056 0.047
JNPR 0.416 0.090 0.137
LU 0.602 0.131 0.027
MOT 0.041 0.014 0.006
MSFT 0.422 0.084 0.210
MU 0.110 0.087 0.030
NT 0.320 0.068 0.288
ORCL 0.005 0.056 0.062
PALM 0.509 0.156 0.085
PMTC 0.080 0.005 0.030
PSFT 0.244 0.094 0.270
SCMR 0.240 0.197 0.060
SLR 0.077 0.054 0.158
STM 0.010 0.062 0.161
SUNW 0.463 0.176 0.276
TLAB 0.225 0.250 0.283
TXN 0.240 0.052 0.117
XLNX 0.261 0.051 0.217
YHOO 0.202 0.038 0.222
Averagecorrelation across 35 stocks 0.188 0.029 0.067
Correlation between 35-stock index and
35-stock sentiment index 0.486 0.178 0.288