bullish or bearish sentiment about a given stock, vs. news that induces confusion in its
readers as it unfolds.
.Intraday analysis Preliminary work shows that many of these events are associated
with price motion that can greatly enhance the implementation of investment ideas as
a component of transaction cost control.
.International markets RNSE coverage is global. Preliminary event study results
show similar patterns to those observed in the US.
6.10 Acknowledgments
As those who have done this type of research well know, lining up and matching data
from different sources over historical periods is a substantial task. We would like to
thank Richard W. Brown, William Fang, Jason Sluciak and the Thomson Reuters Data
Team for their excellent work in providing the data needed for this research, and for
organizing symposia in this area.
We would also like to thank other participants in the news research symposia for
helpful discussions; in particular, Andrew Lo from AlphaSimplex and MIT, and Paul
Tetlock from Columbia.
In addition, we thank the anonymous reviewer for multiple helpful suggestions.
6.11 References
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