| May 15, 2018
In this paper, we introduce alternative ways to aggregate daily news sentiment and to incorporate event volume into a trading strategy.
In particular, we investigate how subtle differences in the way we use the same news information, such as different averaging, can lead
to important differences in the characteristics of our portfolio. We recommend
analyzing the Sum Excess Sentiment Indicator
, SESI, which can be interpreted as a simple way to take into consideration event sentiment and event volume, simultaneously.
We find that:
Please use your business email. If you don't have one, please email us at email@example.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 firstname.lastname@example.org. For more information, you can
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.