An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Medientyp: E-Book

Titel: An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Beteiligte: Song, Qiang [VerfasserIn]; Liu, Anqi [Sonstige Person, Familie und Körperschaft]; Yang, Steve Y. [Sonstige Person, Familie und Körperschaft]; Deane, Anil [Sonstige Person, Familie und Körperschaft]; Datta, Kaushik [Sonstige Person, Familie und Körperschaft]

Erschienen: [S.l.]: SSRN, [2015]

Umfang: 1 Online-Ressource (7 p)

Sprache: Englisch

DOI: 10.2139/ssrn.2631135

Identifikator:

Entstehung:

Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 15, 2015 erstellt

Beschreibung: News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend score which measure extreme positive and negative sentiment levels for individual stocks. The intuition behind this approach is that the impact of events that generate extreme investor sentiment changes tends to have long and lasting effects to market movement and hence provides better prediction to market returns. We document that there exists an optimal signal region for both indicators. And we also show extreme positive sentiment provides better a signal than extreme negative sentiment, which presents an asymmetric market behavior in terms of news sentiment impact. The backtest results show that extreme positive sentiment generates robust and superior trading signals in all market conditions, and its risk-adjusted returns significantly outperform the S&P 500 index over the same time period

Zugangsstatus: Freier Zugang

Nur in Feld suchen:

Zuletzt gesuchte Begriffe: