Daily Market News Sentiment and Stock Prices
“Thomson Reuters News Analytics (TRNA)1 is one such data set.”
AssetEquitiesindices
StrategyNews sentimentfactor investing
TechniqueLinear factor model
GeographyGlobalEurope
Also stated: Daily, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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