takes for people to accumulate information. This type of signal is amenable to large-
position building and higher capacity funds.
These studies are based on ‘‘pure news’’ signals. In practice, they would naturally be
combined with other quantitative signals.
6.4.2 News analytic parameters for these studies
Based on exploratory data analysis (e.g., reading stories with different relevance levels)
and the time-honored SWAG methodology, we used these settings for the event studies
shown in the following sections:
Relating news analytics to stock returns 155Figure 6.3.Rapidly increasing volume of news for US stocks, due in part to automated
‘‘intelligence amplification’’ improvements in news gathering. Universe is the S&P 1500.
Figure 6.4.The number of items per US stock (RIC) has also grown rapidly, approximately
doubling in the last year. Universe is the S&P 1500.