Anmerkungen:
In: Data Science for Economics and Finance: Methodologies and Applications, pp. 217-239, 2021
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 3, 2020 erstellt
Beschreibung:
We present a general monitoring methodology to summarize news about predefined entities and topics into tractable time-varying indices. The approach embeds text mining techniques to transform news data into numerical data, which entails the querying and selection of relevant news articles, and the construction of frequency- and sentiment-based indicators. Word embeddings are used to achieve maximally informative news selection and scoring. We apply the methodology from the viewpoint of a sustainable asset manager wanting to actively follow news covering Environmental, Social and Governance (ESG) aspects. In an empirical analysis, using a Dutch-written news corpus, we create news-based ESG signals for a large list of companies and compare these to scores from an external data provider. We find preliminary evidence of abnormal news dynamics leading up to downward score adjustments, and of efficient portfolio screening