利用基于新闻的指标进行短期股票选择

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-05-15 DOI:10.2139/ssrn.2155679

Peter Hafez, Junqiang Xie

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引用次数: 0

摘要

在公司层面实时计算新闻情绪指数，可以更好地理解情绪在资产定价中的作用。本研究展示了如何构建这些指数，以及如何创建可以构成基于新闻的短期选股模型基础的信号。总体而言，我们发现新闻情绪具有很强的预测能力，并提供高风险调整后的表现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Short-Term Stock Selection Using News Based Indicators

Calculating news sentiment indexes at the company level in real time offer a better understanding of the role of sentiment in asset pricing. This study shows how to construct these indexes, and how to create signals that can form the basis of a news-based short-term stock selection model. Overall, we find that news sentiment holds strong predictive power and delivers high risk-adjusted performance.

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Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal

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