Intraday News Patterns: Implementation of Sentiment Strategies
In this study, we demonstrate how exploiting the timing of news adds significant value to our sentiment indicators and their performance when constructing short-term, long-short equity strategies.
A strategy of news momentum that buys stocks with high news returns and sells stocks with low news returns generates an annualized return of 40.08% in the following week, with a four-factor alpha of 40.44%, controlling for the market, size, value, and momentum.
Media-Driven High Frequency Trading: Evidence from News Analytics
Comparing the market reaction to similar news items depending on whether the news has been released to customers or not, the authors are able to determine the causal effect of news analytics on stock prices, irrespective of the informational content of the news.
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