Dr. George Bonne, Executive Director, Equity Factor Research, MSCI
| October 08, 2018
George presents his latest research on news sentiment signals in the framework of the MSCI Barra equity factor models. Watch the highlights below, you can request access to slides and the full video.
George evaluates factors constructed from the latest generation of RavenPack data, whereby highlighting improvements over previous versions in coverage, cross-sectional explanatory power, and factor returns. He also demonstrates how the results are robust to factor formulation, geography, and time period.
Access the underlying white paper
"Hedging Sentiment Signals with MSCI Barra Risk Models"
This session was held at the
RavenPack Research Symposium held in New York on September 12, 2018
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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.