sentiment analysis

Econometrics Meets Sentiment: An Overview of Methodology and Applications

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric …

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

The modern calculation of textual sentiment involves a myriad of choices as to the actual calibration. We introduce a general sentiment engineering framework that optimizes the design for forecasting purposes. It includes the use of the elastic net …

Media Abnormal Tone, Earnings Announcements, and the Stock Market

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non financial S&P 500 …