Short-Term Stock Selection Using News Based Indicators

Calculating news sentiment indexes at the company level in real time offer a better understanding of the role of sentiment in asset pricing. This study shows how to construct these indexes, and how to create signals that can form the basis of a news-based short-term stock selection model. Overall, we find that news sentiment holds strong predictive power and delivers high risk-adjusted performance

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Year of publication:	2012
Authors:	Hafez, Peter
Other Persons:	Xie, Junqiang (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Ankündigungseffekt \| Announcement effect \| Portfolio-Management \| Portfolio selection \| Aktienmarkt \| Stock market \| Wirtschaftsindikator \| Economic indicator \| Aktienindex \| Stock index \| Anlageverhalten \| Behavioural finance \| Theorie \| Theory

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Extent:	1 Online-Ressource (31 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2012 erstellt
Other identifiers:	10.2139/ssrn.2155679 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013100001