Textual sentiment in finance: A survey of methods and models

Kearney, Colm; Liu, Sha

doi:10.1016/j.irfa.2014.02.006

Cited by 437 publications

(278 citation statements)

References 52 publications

Supporting

Mentioning

268

Contrasting

Unclassified

Order By: Relevance

“…Previous research on textual analysis of company related texts was surveyed by Kearney and Liu (2014), Nassirtoussi et al (2014) and Loughran and McDonald (2016). Significant differences of word categories has been observed for firms with low/high earnings and stock returns (Li, 2008), stock market volatility (Loughran & McDonald, 2011), market-to-book ratio (Myskova & Hajek, 2016), return on assets (Davis et al, 2012), credit ratings (Hajek & Olej, 2013), Altman Z-score (Hajek et al, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Comprehensive assessment of firm financial performance using financial ratios and linguistic analysis of annual reports

Myšková¹,

Hájek²

2017

Journal of International Studies

View full text Add to dashboard Cite

Abstract. Indicators of financial performance, especially financial ratio analysis, have become important financial decision-support information used by firm management and other stakeholders to assess financial stability and growth potential. However, additional information may be hidden in management communication. The article deals with the analysis of the annual reports of U.S. firms from both points of view, a financial one based on a set of financial ratios, and a linguistic one based on the analysis of other information presented by firms in their annual reports. Spearman correlation coefficient is used to compare the values of financial and linguistic indicators. For the purpose of the comprehensive assessment, novel word lists are proposed, specifically designed for each category of financial analysis. The aim is to assess the information ability of annual reports and whether successful firms present their results precisely or not. The results show that the proposed topic dictionaries can be beneficial, especially for the assessment of cash flow and leverage ratios.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

“…Management's Discussion and Analysis (MD&A) of Financial Condition and Results of Operations in 10-K filings) was also pre-processed. The MD&A section is considered the most important part of 10-K filing in previous literature (Kearney and Liu, 2014).…”

Section: Categorymentioning

confidence: 99%

Comprehensive assessment of firm financial performance using financial ratios and linguistic analysis of annual reports

Myšková¹,

Hájek²

2017

Journal of International Studies

View full text Add to dashboard Cite

show abstract

“…First, we relate to a large number of studies using textual information to explain and predict stock price movements. Prominent examples include Frank (2004), Tetlock (2007), and Garcia (2013), while Tetlock (2014), Kearney and Liu (2014), and Loughran and Mcdonald (2016) provide recent literature overviews. While a large share of these studies use textually derived sentiment indicators, finding weak evidence of predictability, evidence saying that only negative news matters, and reversal patterns following news releases, we find relatively strong evidence towards predictability and clear continuation patterns when focusing on news topics.…”

Section: By Exploiting An Exogenous Strike In the Norwegian Newspapermentioning

confidence: 99%

Asset Returns, News Topics, and Media Effects

Larsen

Thorsrud

2017

SSRN Journal

View full text Add to dashboard Cite

We decompose the textual data in a daily Norwegian business newspaper into news topics and investigate their predictive and causal role for asset prices. Our three main findings are: (1) a one unit innovation in the news topics predict roughly a 1 percentage point increase in close-to-open returns and significant continuation patterns peaking at 4 percentage points after 15 business days, with little sign of reversal; (2) simple zero-cost news-based investment strategies yield significant annualized risk-adjusted returns of up to 20 percent; and (3) during a media shortage, due to an exogenous strike, returns for firms particularly exposed to our news measure experience a substantial fall. Our estimates suggest that between 20 to 40 percent of the news topics' predictive power is due to the causal media effect. Together these findings lend strong support for a rational attention view where the media alleviate information frictions and disseminate fundamental information to a large population of investors.JEL-codes: C5, C8, G4, G12

show abstract

“…3 For literature reviews about tone-performance link in the fields of finance and accounting see [27], [28], and [29].…”

Section: Methodsmentioning

confidence: 99%