{"title":"利用基于新闻的指标进行短期股票选择","authors":"Peter Hafez, Junqiang Xie","doi":"10.2139/ssrn.2155679","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Short-Term Stock Selection Using News Based Indicators\",\"authors\":\"Peter Hafez, Junqiang Xie\",\"doi\":\"10.2139/ssrn.2155679\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":214104,\"journal\":{\"name\":\"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-05-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2155679\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2155679","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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