Stéphane Goutte, Ron Grosse, H. Le, Fei Liu, Hans-Jörg von Mettenheim
{"title":"具有ESG新闻情绪的投资组合管理","authors":"Stéphane Goutte, Ron Grosse, H. Le, Fei Liu, Hans-Jörg von Mettenheim","doi":"10.54695/bmi.172.0072","DOIUrl":null,"url":null,"abstract":"In this paper, we introduce a novel news sentiment database and analyze its potential applications in the financial markets via several trading experiments. We analyze the predictability of the news sentiment (both general news and ESG-related news) on the return of European stocks and the potential of applying them as a proper trading strategy over seven years from 2015 to 2023. We find that sentiment indicators such as Tone, and Polarity show significant relationships to the return of the stock price. Those relationships can be exploited, even in the most naive way, to create trading strategies that can be profitable and outperform the market. Furthermore, among the indicators, those extracted from ESG-related news tend to show better performance. This sentiment database is available through a bespoke app at the website https://esg.cafe","PeriodicalId":142010,"journal":{"name":"Bankers, Markets & Investors","volume":"68 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio management with ESG news sentiment\",\"authors\":\"Stéphane Goutte, Ron Grosse, H. Le, Fei Liu, Hans-Jörg von Mettenheim\",\"doi\":\"10.54695/bmi.172.0072\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we introduce a novel news sentiment database and analyze its potential applications in the financial markets via several trading experiments. We analyze the predictability of the news sentiment (both general news and ESG-related news) on the return of European stocks and the potential of applying them as a proper trading strategy over seven years from 2015 to 2023. We find that sentiment indicators such as Tone, and Polarity show significant relationships to the return of the stock price. Those relationships can be exploited, even in the most naive way, to create trading strategies that can be profitable and outperform the market. Furthermore, among the indicators, those extracted from ESG-related news tend to show better performance. This sentiment database is available through a bespoke app at the website https://esg.cafe\",\"PeriodicalId\":142010,\"journal\":{\"name\":\"Bankers, Markets & Investors\",\"volume\":\"68 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Bankers, Markets & Investors\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.54695/bmi.172.0072\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Bankers, Markets & Investors","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.54695/bmi.172.0072","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
In this paper, we introduce a novel news sentiment database and analyze its potential applications in the financial markets via several trading experiments. We analyze the predictability of the news sentiment (both general news and ESG-related news) on the return of European stocks and the potential of applying them as a proper trading strategy over seven years from 2015 to 2023. We find that sentiment indicators such as Tone, and Polarity show significant relationships to the return of the stock price. Those relationships can be exploited, even in the most naive way, to create trading strategies that can be profitable and outperform the market. Furthermore, among the indicators, those extracted from ESG-related news tend to show better performance. This sentiment database is available through a bespoke app at the website https://esg.cafe
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
