Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020

39 Pages Posted: 12 Jan 2016 Last revised: 24 Jun 2020

See all articles by Andres Algaba

Andres Algaba

Vrije Universiteit Brussel (VUB); Ghent University - Department of Economics

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

HEC Montreal - Department of Decision Sciences; Ghent University - Department of Economics

Samuel Borms

University of Neuchâtel; Vrije Universiteit Brussel

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: May 21, 2020

Abstract

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software.

Keywords: qualitative data, sentiment analysis, sentometrics, survey, textual analysis

JEL Classification: G11, C58

Suggested Citation

Algaba, Andres and Ardia, David and Bluteau, Keven and Borms, Samuel and Boudt, Kris, Econometrics Meets Sentiment: An Overview of Methodology and Applications (May 21, 2020). Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020, Available at SSRN: https://ssrn.com/abstract=2652876 or http://dx.doi.org/10.2139/ssrn.2652876

Andres Algaba

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.be
Brussels, 1050
Belgium

Ghent University - Department of Economics ( email )

Belgium

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Keven Bluteau

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Ghent University - Department of Economics ( email )

Belgium

Samuel Borms (Contact Author)

University of Neuchâtel ( email )

1, A.-L. Breguet
Neuchâtel, CH-2000
Switzerland

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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