Macquarie: Aussie News Flow

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

  • Momentum: to help signal when momentum may be running out.
  • Value: to avoid Value traps.
  • Revisions: to differentiate which revisions the market rewards.
  • Quality: to identify quality stocks that will outperform.

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