May 2011
Beginner to intermediate
384 pages
12h 28m
English
Content preview from The Handbook of News Analytics in FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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9
Sentiment reversals as buy signals
John Kittrell
ABSTRACT
The company-specific metric of net news sentiment is defined and shown to predict long-term positive excess stock returns. A sequence of news stories about a company induces a sequence of sentiment measurements (positive or negative relative to the company), and when significant movements of such sequences from negative to positive are treated as buy signals, the universe of stocks so defined outperforms the S&P 500 index over a 1-year time horizon. If the metric is further refined to incorporate extended periods of news coverage, excess returns are improved. However, the event frequency and subsequent outperformance of such sentiment reversals are sensitive to market environments.
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