| 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
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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.