Web News Analytics Enhance Stock Portfolio Returns
29 Pages Posted: 12 Apr 2014
Date Written: January 15, 2014
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
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