tag:blogger.com,1999:blog-5169124041056647533Fri, 17 Feb 2012 00:49:10 +0000Sentiment News Blog follows interesting information about the application of news sentiment analysis in both short- and long-term investment decision making.http://www.sentimentnews.com/noreply@blogger.com (Peter Hafez)Blogger46125tag:blogger.com,1999:blog-5169124041056647533.post-4113430749088219745Tue, 31 Jan 2012 13:28:00 +00002012-01-31T14:58:07.400+01:00The relationship between market sentiment and macro-economic indicators has always been an intriguing topic amongst newspaper columnists, academics, economists, and policymakers; especially when the economy is going through a recession. Calculating sentiment from financial news is a more timely method than traditional macro-economic indicators and thus could potentially improve trading models http://feedproxy.google.com/~r/SentimentNews/~3/SYe8CFvhNoo/ravenpack-sentiment-and-macro-economic.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/SYe8CFvhNoo" height="1" width="1"/>http://www.sentimentnews.com/2012/01/ravenpack-sentiment-and-macro-economic.htmltag:blogger.com,1999:blog-5169124041056647533.post-7312306801567331248Wed, 21 Dec 2011 09:41:00 +00002011-12-27T18:06:09.394+01:00As part of our ongoing research effort in this area, we continuously try to learn more about how to better capture sentiment trends at company, sector or market level. In this latest study, we have come up with a simple, intuitive, and yet robust approach to capture the sentiment trend on the US market. Below, we have shown the RavenPack Sentiment Index mapped against the cumulative return of thehttp://feedproxy.google.com/~r/SentimentNews/~3/U94vuy1xHnQ/news-sentiment-highly-correlated-with-s.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/U94vuy1xHnQ" height="1" width="1"/>http://www.sentimentnews.com/2011/12/news-sentiment-highly-correlated-with-s.htmltag:blogger.com,1999:blog-5169124041056647533.post-6623623846549399536Wed, 02 Nov 2011 17:56:00 +00002011-11-02T18:59:07.671+01:00I thought you might enjoy learning about our next research webinar that will discuss trading strategies using news analytics and stock lending volume.At the webinar, Dr. John Kittrell from Knightsbridge Asset Management will discuss key findings from his latest study entitled "Behavioral Trends and Market Neutrality" including:How to use news sentiment signals to outperform the equity http://feedproxy.google.com/~r/SentimentNews/~3/lFTve8NTzZc/research-webinar-trading-strategies.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/lFTve8NTzZc" height="1" width="1"/>http://www.sentimentnews.com/2011/11/research-webinar-trading-strategies.htmltag:blogger.com,1999:blog-5169124041056647533.post-1711709591348425668Fri, 28 Oct 2011 12:19:00 +00002011-10-28T14:41:55.248+02:00I've received a few requests for a replay video of the research webinar. Below is a link to the "Watch Out For Those Unexpected Events" held earlier this week:http://feedproxy.google.com/~r/SentimentNews/~3/aDdG-Ul17Lg/watch-out-for-those-unexpected-events.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/aDdG-Ul17Lg" height="1" width="1"/>http://www.sentimentnews.com/2011/10/watch-out-for-those-unexpected-events.htmltag:blogger.com,1999:blog-5169124041056647533.post-624356565461031758Fri, 07 Oct 2011 07:54:00 +00002011-10-07T09:57:08.992+02:00I've been asked to present at RavenPack's upcoming research webinar on unscheduled news events. I'll be discussing some market response techniques and event-driven trading strategies. Other presentations will focus on the impact of macroeconomic and geopolitical events in trading. Here's a link to the research agenda and registration page: https://www3.gotomeeting.com/register/737465358http://feedproxy.google.com/~r/SentimentNews/~3/Z0qk12-pWlg/research-webinar-on-unexpected-events.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/Z0qk12-pWlg" height="1" width="1"/>http://www.sentimentnews.com/2011/10/research-webinar-on-unexpected-events.htmltag:blogger.com,1999:blog-5169124041056647533.post-2144794273858018766Thu, 29 Sep 2011 08:17:00 +00002011-09-29T11:45:38.339+02:00The timing of company specific news events may impact short-term price discovery. This relationship becomes important for a high frequency or short-term trader to understand when events typically occur (e.g. pre-market, during market-hours, or while they are fast asleep).To learn more about the timing of different events, I consider a set of event categories as detected by RavenPack. In total, http://feedproxy.google.com/~r/SentimentNews/~3/de3dGoPTkvI/event-timing-and-high-frequency-trading.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/de3dGoPTkvI" height="1" width="1"/>http://www.sentimentnews.com/2011/09/event-timing-and-high-frequency-trading.htmltag:blogger.com,1999:blog-5169124041056647533.post-8128487415081230657Tue, 23 Aug 2011 09:51:00 +00002011-08-25T15:00:49.703+02:00Gross Domestic Product (GDP) is considered one of the most important economic indicators for "taking the pulse" of the economy. Initially, GDP figures are only available as estimates, which can take years to get finalized. The first estimate of GDP is available about 1 month after the end of each quarter. This is followed by significant successive revisions for up to a year after the initial http://feedproxy.google.com/~r/SentimentNews/~3/aSWyOD5o7Cs/sentiment-analysis-more-timely-than-gdp.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/aSWyOD5o7Cs" height="1" width="1"/>http://www.sentimentnews.com/2011/08/sentiment-analysis-more-timely-than-gdp.htmltag:blogger.com,1999:blog-5169124041056647533.post-4586522212038316954Thu, 18 Aug 2011 15:27:00 +00002011-08-18T17:31:24.747+02:00I've been getting lots of requests to update the market sentiment index I showed in a previous posting. While those that subscribe to RavenPack data have been able to calculate the index themselves, here's an updated graph with news analytics data up to August 17th 2011. As you can see from the figure below, the sentiment index began trending downwards already in July of 2010, indicating a http://feedproxy.google.com/~r/SentimentNews/~3/nsioN7L2vhU/sentiment-leading-market-again.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/nsioN7L2vhU" height="1" width="1"/>http://www.sentimentnews.com/2011/08/sentiment-leading-market-again.htmltag:blogger.com,1999:blog-5169124041056647533.post-4634042726883475909Wed, 29 Jun 2011 10:17:00 +00002011-06-29T12:21:09.861+02:00Recently, I came across an interesting white paper by Jeremiah Green et. al. looking into the sentiment biases in the media. Similar to my previous research, they find that the number of good-news events reported in the business press exceeds the number of bad-news events. Despite this positive news sentiment bias, they find that bad-news events tend to receive broader dissemination after they http://feedproxy.google.com/~r/SentimentNews/~3/eAhmCao9J-0/attention-grabbing-role-of-bad-news.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/eAhmCao9J-0" height="1" width="1"/>http://www.sentimentnews.com/2011/06/attention-grabbing-role-of-bad-news.htmltag:blogger.com,1999:blog-5169124041056647533.post-8060528751562946192Mon, 16 May 2011 09:49:00 +00002011-05-16T11:50:46.243+02:00If you’re interested in learning about the latest research on news analytics, I suggest you attend the next research seminar organized by The Associated Press and RavenPack in New York. The luncheon event is free to attend and will include key personalities in the world of event trading and machine-readable news. The discussion topic is "Trading Catalysts: How Events Move Markets." The keynote http://feedproxy.google.com/~r/SentimentNews/~3/M4uFUHjCaiY/big-data-big-news-trading-catalysts.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/M4uFUHjCaiY" height="1" width="1"/>http://www.sentimentnews.com/2011/05/big-data-big-news-trading-catalysts.htmltag:blogger.com,1999:blog-5169124041056647533.post-1371148294333176451Thu, 07 Apr 2011 14:14:00 +00002011-04-07T16:28:21.623+02:00Last week, I introduced the concept of abnormal news liquidity, to detect companies that move in or out of the media spotlight. In my latest study, I found that such distinction added value as part of a stock selection framework - capturing the different patterns in price reaction to sentiment across the two groups of stocks.Specifically, I find that when companies moving out of the media http://feedproxy.google.com/~r/SentimentNews/~3/Xnvw_VZ5mlA/sentiment-and-media-attention.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/Xnvw_VZ5mlA" height="1" width="1"/>http://www.sentimentnews.com/2011/04/sentiment-and-media-attention.htmltag:blogger.com,1999:blog-5169124041056647533.post-1905586943394828471Thu, 31 Mar 2011 13:41:00 +00002011-03-31T17:58:03.188+02:00Besides more traditional quant factors including market capitalization and book-to-market, news availability or "liquidity" may be considered an important dimension when explaining portfolio excess returns.Normally, news flow can be defined as a simple count of stories where for example a company is mentioned, while the idea of “news liquidity” is to capture “novel” and “actionable“ content abouthttp://feedproxy.google.com/~r/SentimentNews/~3/p6heetqbCD4/news-movers-and-shakers-in-finance.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/p6heetqbCD4" height="1" width="1"/>http://www.sentimentnews.com/2011/03/news-movers-and-shakers-in-finance.htmltag:blogger.com,1999:blog-5169124041056647533.post-4352533542578861172Thu, 24 Feb 2011 10:51:00 +00002011-02-24T12:41:57.603+01:00Last week, I attended the "Battle of the Quants" conference that took place at the New York Marriott Marquis at Times Square. One of the discussions was on the topic of how to leverage news in quantitative strategies, which I obviously found to be an interesting discussion. Amongst the panelists were Armando Gonzalez from RavenPack, Rob Passarella from Dow Jones, Richard Brown from http://feedproxy.google.com/~r/SentimentNews/~3/LsxSqWdnbGU/power-of-news-battle-of-quants.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/LsxSqWdnbGU" height="1" width="1"/>http://www.sentimentnews.com/2011/02/power-of-news-battle-of-quants.htmltag:blogger.com,1999:blog-5169124041056647533.post-296277877574960466Wed, 26 Jan 2011 11:12:00 +00002011-01-27T09:48:17.725+01:00New research shows that sentiment derived from financial news can improve price momentum strategies. In a recent report from Macquarie Equity Research, they examined 150 Australian stocks as covered by RavenPack over the period 2005 through September 2010. As indicated by previous research, they find that factors based on news sentiment hold relatively low correlation to more traditional quant http://feedproxy.google.com/~r/SentimentNews/~3/iuUs_vOmBSs/enhancing-price-moment-with-news.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/iuUs_vOmBSs" height="1" width="1"/>http://www.sentimentnews.com/2011/01/enhancing-price-moment-with-news.htmltag:blogger.com,1999:blog-5169124041056647533.post-6097218710436255314Thu, 02 Dec 2010 11:11:00 +00002010-12-02T12:17:17.108+01:00For Investment managers with a long-only mandate, investing in positive news beta stocks may be an interesting way to enhance a strategic asset allocation model based on broad market exposures.For a company to be classified a positive or negative news beta company, its stock price must have moved with or against a market sentiment benchmark in the time period of the previous regression http://feedproxy.google.com/~r/SentimentNews/~3/SS9aa42s48g/long-only-strategies-news-betas.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/SS9aa42s48g" height="1" width="1"/>http://www.sentimentnews.com/2010/12/long-only-strategies-news-betas.htmltag:blogger.com,1999:blog-5169124041056647533.post-9219654807216477888Tue, 23 Nov 2010 11:11:00 +00002010-11-23T12:44:26.434+01:00An investor evaluating a given stock for a portfolio will use market beta to gauge its potential volatility in relation to the market. The concept of a (market) news beta provides a way to measure the responsiveness of individual stock prices to a different kind of benchmark - market sentiment. While beta from CAPM only considers market returns, news beta tries to capture the underlying factors http://feedproxy.google.com/~r/SentimentNews/~3/15EoV5HQdRQ/news-beta-new-measure-of-risk-stock.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/15EoV5HQdRQ" height="1" width="1"/>http://www.sentimentnews.com/2010/11/news-beta-new-measure-of-risk-stock.htmltag:blogger.com,1999:blog-5169124041056647533.post-5163164287298019594Wed, 27 Oct 2010 13:51:00 +00002010-10-27T15:53:37.835+02:00There will be a research seminar in New York on news and sentiment analysis on November 4, 2010 at Bryant Park Hotel. The event will include short research presentations and an open panel discussion. Clara Vega, a Senior Economist at the Federal Reserve Board will be presenting her latest published work titled "Soft Information in Earnings Announcements: News Or Noise?" which provides new http://feedproxy.google.com/~r/SentimentNews/~3/1V3z2i0Qqg8/research-seminar-behavioral-signs.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/1V3z2i0Qqg8" height="1" width="1"/>http://www.sentimentnews.com/2010/10/research-seminar-behavioral-signs.htmltag:blogger.com,1999:blog-5169124041056647533.post-8711028769625288550Wed, 22 Sep 2010 17:07:00 +00002010-09-24T19:44:04.348+02:00This month's calculation of the US Sentiment Index is based on a larger coverage of equity events than in previous studies. RavenPack has gone from probing about 170 different news events to covering more than 270. Especially, there is more coverage around clinical trials, mergers and acquisitions, and regulatory issues. With so many scheduled and unscheduled firm-specific events covered, it http://feedproxy.google.com/~r/SentimentNews/~3/uAHXEELz8ec/us-sentiment-continues-at-high-levels.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/uAHXEELz8ec" height="1" width="1"/>http://www.sentimentnews.com/2010/09/us-sentiment-continues-at-high-levels.htmltag:blogger.com,1999:blog-5169124041056647533.post-1722876848867510813Tue, 10 Aug 2010 15:18:00 +00002010-08-10T17:33:12.943+02:00In July, the market dealt with a bunch of conflicting signals about economic confidence and sentiment. The Thomson Reuters/University of Michigan preliminary sentiment index decreased to 66.5, the lowest since August 2009, from 76 in June. The reading was lower than the most pessimistic forecast of economists in a Bloomberg News survey. The 9.5-point decline in the index was the biggest since http://feedproxy.google.com/~r/SentimentNews/~3/6GuboKQXZYE/us-sentiment-index-signals-steady.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/6GuboKQXZYE" height="1" width="1"/>http://www.sentimentnews.com/2010/08/us-sentiment-index-signals-steady.htmltag:blogger.com,1999:blog-5169124041056647533.post-1842507519276027643Wed, 07 Jul 2010 09:20:00 +00002010-07-07T11:37:20.698+02:00Whether the financial markets and the economy will experience a double dip seems to be the million dollar question right now. Even though sentiment analysis may not fully answer this, it can certainly provide a glimpse on what’s crossing investor minds at the moment.To gauge market sentiment, I construct a “US Sentiment Index” which probes the news sentiment of companies comprising the S&P 500. http://feedproxy.google.com/~r/SentimentNews/~3/qf7PRD9nlMo/does-sentiment-support-double-dip.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/qf7PRD9nlMo" height="1" width="1"/>http://www.sentimentnews.com/2010/07/does-sentiment-support-double-dip.htmltag:blogger.com,1999:blog-5169124041056647533.post-445963916455658931Mon, 07 Jun 2010 11:16:00 +00002010-06-07T13:42:25.226+02:00In my latest study considering industry-level sentiment factors, I noticed that the total number of company-specific events in the news varied depending on the industry. To probe industry sentiment, I combine 5 different scores from RavenPack that classify each news story as being either positive, negative or neutral.Considering the sentiment of companies belonging to the S&P500, I construct a http://feedproxy.google.com/~r/SentimentNews/~3/ncNbeH3IkXM/industry-rankings-in-market-neutral.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/ncNbeH3IkXM" height="1" width="1"/>http://www.sentimentnews.com/2010/06/industry-rankings-in-market-neutral.htmltag:blogger.com,1999:blog-5169124041056647533.post-6041271121868351474Thu, 06 May 2010 09:58:00 +00002010-05-06T13:38:39.615+02:00Previously, I presented an idea on how to construct a Market-level Sentiment Index based on counts of positive and negative sentiment news about companies belonging to a target equity index. I found that considering a company relevance metric is an important element in constructing sentiment-based strategies as using relevant news improved the out-of-sample return correlation by a factor of 3.In http://feedproxy.google.com/~r/SentimentNews/~3/NRrhCwMD2GA/how-news-events-impact-market-sentiment.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/NRrhCwMD2GA" height="1" width="1"/>http://www.sentimentnews.com/2010/05/how-news-events-impact-market-sentiment.htmltag:blogger.com,1999:blog-5169124041056647533.post-9192361478728304111Thu, 29 Apr 2010 11:11:00 +00002010-04-29T13:17:07.186+02:00There will be an interesting research seminar in New York mainly on news and sentiment analysis on May 20, 2010 in Wall Street. The event will include short research presentations and a panel discussion moderated by Bob Warshaw, Head of Global Equities at Tradeweb. The lineup of speakers is actually quite impressive. Dan DiBartolomeo from Northfield will present a study on the incorporation of http://feedproxy.google.com/~r/SentimentNews/~3/HOE5NT9zx5s/news-analytics-research-seminar.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/HOE5NT9zx5s" height="1" width="1"/>http://www.sentimentnews.com/2010/04/news-analytics-research-seminar.htmltag:blogger.com,1999:blog-5169124041056647533.post-5329152657978749121Wed, 17 Mar 2010 12:15:00 +00002010-03-17T13:25:13.735+01:00When constructing trading or investment strategies, distinguishing between companies that can be considered "liquid" or "illiquid" in the news can be important. Not surprisingly, studies have shown that a high correlation exists between market capitalization and news flow, which may be explained by the increased attention given to large-cap companies from research analysts and financial http://feedproxy.google.com/~r/SentimentNews/~3/vzR_Cvhrzgo/finding-liquidity-in-news.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/vzR_Cvhrzgo" height="1" width="1"/>http://www.sentimentnews.com/2010/03/finding-liquidity-in-news.htmltag:blogger.com,1999:blog-5169124041056647533.post-5661529251287306905Thu, 18 Feb 2010 18:36:00 +00002010-02-18T20:35:24.407+01:00Generally, the use of news analytics falls into three main categories including (1) triggering events for high and low frequency strategies, (2) quant factors, and (3) Sentiment Indices/overlays. Previously, I have presented studies conducted by Macquarie Equity Research showing how news derived quant factors can add value to existing multifactor models. Also, I have shown how one can construct ahttp://feedproxy.google.com/~r/SentimentNews/~3/SqJIzXIomaQ/sentiment-reversals-as-buy-signals.htmlnoreply@blogger.com (Peter Hafez)0<img src="http://feeds.feedburner.com/~r/SentimentNews/~4/SqJIzXIomaQ" height="1" width="1"/>http://www.sentimentnews.com/2010/02/sentiment-reversals-as-buy-signals.html