Web News Analytics Enhance Stock Portfolio Returns

29 Pages Posted: 12 Apr 2014

Date Written: January 15, 2014

Abstract

In this study, we explore the characteristics of RavenPack’s new data set derived from online sources of financial news and opinion compared to the real-time content published by Dow Jones & the Wall Street Journal. Overall, we find the web is catching up in terms of reporting novel corporate events. Adding web sources improves both company and event coverage. By intersecting company sentiment from RavenPack’s Dow Jones Edition and the new Web Edition, we show how to improve a simple reversal strategy. Our study examines all Russell 3000 constituents using a 1-week investment horizon.

Keywords: short-term reversal, equity, sentiment, news analytics, news, news sentiment, RavenPack, trading, investment

Suggested Citation

Hafez, Peter and Xie, Junqiang, Web News Analytics Enhance Stock Portfolio Returns (January 15, 2014). Available at SSRN: https://ssrn.com/abstract=2423362 or http://dx.doi.org/10.2139/ssrn.2423362

Peter Hafez (Contact Author)

RavenPack International ( email )

Centro de Negocios Oasis, Of. 8
Ctra. de Cadiz Km. 176
Marbella, Malaga 29602
Spain
+44 (0)20 3290 7395 (Phone)

HOME PAGE: http://www.ravenpack.com

Junqiang Xie

RavenPack ( email )

260 Madison Ave., 8th Floor
New York, NY 10016
United States
+1 646 216 2140 (Phone)

HOME PAGE: http://www.ravenpack.com

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