The Handbook of News Analytics in Finance

5.A MARKET-LEVEL SENTIMENT DATA

I use the following RavenPack data to construct the market-level index.

5.A.1 CRS: Company Relevance Score

A score between 0 and 100 that indicates how strongly related the company is to the underlying news story, with higher values indicating greater relevance. For any story that mentions a company, RavenPack provides a relevance score. A score of 0 means the company was passively mentioned once in a story. A score of 100 means the company was predominant in the story and played a well-defined role in the article. The greater the score between 0 and 100, the higher the relevance of the story to the company.

5.A.2 ESS: Event Sentiment Score

A granular score between 0 and 100 that represents the news sentiment for a given company by measuring various proxies sampled from the news. The score is determined by systematically matching stories typically rated by financial experts as having short-term positive or negative share price impact. The strength of the score is derived from training sets where financial experts classified company-specific events and agreed these events convey positive or negative sentiment and to what degree. Their ratings are encapsulated in an algorithm that generates a score range between 0 and 100 where higher values indicate more positive sentiment while lower values (below 50) show negative sentiment.

5.A.3 ENS: Event Novelty Score

A granular score between 0 and 100 that represents how “new” or novel a news story is over ...