Equities
Macquarie | May 24, 2011
In this report, we analyze the RavenPack dataset in Australia.
Such data has traditionally been employed in the high frequency domain. We introduce the Macquarie News Sentiment (MNS) score with lower frequency investors in mind. The MNS signal combines news stories over the course of a month to measure the aggregate sentiment for a firm. MNS has provided an uncorrelated source of Alpha in the Australian market since 2005. We condition traditional factors with news sentiment to
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.
Your request has been recorded and a team member will be in touch soon.
We consider incorporating sentiment signals from news, earnings call transcripts, and insider transactions to boost the risk-adjusted returns, and revive factor performance.
We find stronger, more predictable market reactions when the words of company executives agree with their actions.
We have gathered 12 insights from 2021 research that can be leveraged in 2022.