Coreference Resolution for Measuring Sentiment in Financial News

33 Pages Posted: 15 Jul 2022

See all articles by Rasa Karapandza

Rasa Karapandza

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting; New York University (NYU) - New York University, Abu Dhabi

Frederik Wisser

Quoniam Asset Management GmbH; EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

Date Written: July 2, 2022

Abstract

We adopt a machine learning-based algorithm to identify direct and indirect company mentions in newspaper articles. We identify the importance of properly matching text segments to their respective companies when estimating human-perceived newspaper sentiment. Previous research has developed methods for measuring text sentiment and has revealed its relation to company returns. We further establish that knowing whether a text segment refers to a particular company is as important for estimating sentiment as the choice of the sentiment measure. Incorporating our methods into finance sentiment measures will significantly improve how accurately news sentiment both explains current and predicts future returns.

Keywords: Textual analysis, News media, Language, Bag-of-words, Coreference resolution, Sentiment analysis, Word lists

JEL Classification: G10, G12, G17, G41

Suggested Citation

Karapandza, Rasa and Wisser, Frederik, Coreference Resolution for Measuring Sentiment in Financial News (July 2, 2022). Available at SSRN: https://ssrn.com/abstract=4152307 or http://dx.doi.org/10.2139/ssrn.4152307

Rasa Karapandza

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany

New York University (NYU) - New York University, Abu Dhabi ( email )

PO Box 129188
Abu Dhabi
United Arab Emirates

Frederik Wisser (Contact Author)

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany

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