sentometrics research repository
An open-source repository about sentiment+econometrics research.
View the Project on GitHub sborms/econometrics-meets-sentiment
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Papers
The works are ordered chronologically by year. Last update: July 15, 2020.
2020
- Forecasting the equity premium: Mind the news!
- Econometrics Meets Sentiment: An Overview of Methodology and Applications
- Economic policy uncertainty in the Euro area: An unsupervised machine learning approach
- COVID-Induced Economic Uncertainty
- The Economic Policy Uncertainty index for Flanders, Wallonia and Belgium
- Hedging Climate Change News
- News-driven inflation expectations and information rigidities
- The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment
- Words are the New Numbers: A Newsy Coincident Index of the Business Cycle
2019
- Inference in Group Factor Models with an Application to Mixed Frequency Data
- Media and the stock market: Their relationship and abnormal dynamics around earnings announcements
- Questioning the News about Economic Growth: Sparse Forecasting using Thousands of News-Based Sentiment Values
- Content analysis of business communication: Introducing a German dictionary
- Sentiments and economic activity: Evidence from US states
- Jockeying for position in CEO letters: Impression management and sentiment analytics
- How news and its context drive risk and returns around the world
- Text as data
- Measuring Group Differences in High-Dimensional Choices: Method and Application to Congressional Speech
- Does Unusual News Forecast Market Stress?
- Historical analysis of national subjective wellbeing using millions of digitized books
- Text selection
- The value of news for economic developments
- Fad or future? Automated analysis of financial text and its implications for corporate reporting
- News media and delegated information choice
- Analyzing media messages: Using quantitative content analysis in research
- rJST: Joint Sentiment Topic Modelling
- SentimentAnalysis: Dictionary-Based Sentiment Analysis
- TextBlob: Simplified Text Processing
- Financial Stability and the Fed: Evidence from Congressional Hearings
2018
- Quantifying Confidence
- BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding
- The effects of conference call tones on market perceptions of value uncertainty
- When does the tone of earnings press releases matter?
- caret: Classification and Regression Training
- Text Preprocessing For Unsupervised Learning: Why It Matters, When It Misleads, And What To Do About It
- Talk Bursts: The Role of Spikes in Pre-release Word-of-Mouth Dynamics
- Transparency and Deliberation Within the FOMC: A Computational Linguistics Approach
- Central bank sentiment
- Economic News and Personal Economic Expectations
- Business Cycle Narratives
- Sentiment analysis under temporal shift
- Seq2Seq2Sentiment: Multimodal Sequence to Sequence Models for Sentiment Analysis
- quanteda: An R package for the quantitative analysis of textual data
- A Measure of Directional Outlyingness With Applications to Image Data and Video
- Measuring News Sentiment
- Quantifying sentiment with news media across local housing markets
- The promise and challenges of new datasets for accounting research
- textir: Inverse Regression for Text Analysis
- Belgian economic policy uncertainty index: Improvement through text mining
2017
- Social Media and Fake News in the 2016 Election
- Developing news-based economic policy uncertainty index with unsupervised machine learning
- Media sentiment and IPO underpricing
- SenSR: A sentiment-based systemic risk indicator
- Building News Measures from Textual Data and an Application to Volatility Forecasting
- Double/debiased/Neyman machine learning of treatment effects
- Content aggregation by platforms: The case of the news media
- Towards an integrated pipeline for aspect-based sentiment analysis in various domains
- Enriching Word Vectors with Subword Information
- News vs. Sentiment: Predicting Stock Returns from News Stories
- It pays to write well
- Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
- Media, sentiment and market performance in the long run
- Creating Domain-Specific Sentiment Lexicons via Text Mining
- Estimation of structural vector autoregressive models
- News implied volatility and disaster concerns
- Textual Analysis in Real Estate
- Forecasted economic change and the self-fulfilling prophecy in economic decision-making
- Words are not all created equal: A new measure of ECB communication
- TexRep: A Text Mining Framework for Online Reputation Monitoring
- Narrative Economics
- A survey of multimodal sentiment analysis
- spaCy 2: Natural language understanding with Bloom embeddings, convolutional neural networks and incremental parsing
- Do Media Data Help to Predict German Industrial Production?
2016
- iFeel 2.0: A Multilingual Benchmarking System for Sentence-Level Sentiment Analysis
- Managers set the tone: Equity incentives and the tone of earnings press releases
- Measuring Economic Policy Uncertainty
- Machine Translation: Mining Text for Social Theory
- News sentiment and overshooting of exchange rates
- Filter bubbles, echo chambers, and online news consumption
- Inducing Domain-Specific Sentiment Lexicons from Unlabeled Corpora
- Shocking language: Understanding the macroeconomic effects of central bank communication
- Measuring Qualitative Information in Capital Markets Research: Comparison of Alternative Methodologies to Measure Disclosure Tone
- Text-based Network Industries and Endogenous Product Differentiation
- Textual Analysis in Accounting and Finance: A Survey
- FRED-MD: A monthly database for macroeconomic research
- How Translation Alters Sentiment
- Fusing audio, visual and textual clues for sentiment analysis from multimodal content
- SentiBench - A benchmark comparison of state-of-the-practice sentiment analysis methods
- A Model of Text for Experimentation in the Social Sciences
- Stock return predictability and investor sentiment: A high-frequency perspective
- Sentiment Analysis: An Overview from Linguistics
- TensorFlow: A system for large-scale machine learning
- tidytext: Text Mining and Analysis Using Tidy Data Principles in R
2015
- The Structure of Voluntary Disclosure Narratives: Evidence from Tone Dispersion
- Text mining for central banks
- Using 10-K Text to Gauge Financial Constraints
- Sophistication, Sentiment, and Misreaction
- The Sum of All FEARS Investor Sentiment and Asset Prices
- The effect of manager-specific optimism on the tone of earnings conference calls
- Dynamic non-parametric joint sentiment topic mixture model
- Beyond the hype: Big data concepts, methods, and analytics
- Issues and Best Practices in Content Analysis
- Textual analysis and international financial reporting: Large sample evidence
- Sentiment Analysis: Mining Opinions, Sentiments, and Emotions
- The Use of Word Lists in Textual Analysis
- Generating Domain-Specific Dictionaries Using Bayesian Learning
- Accounting Variables, Deception, and a Bag of Words: Assessing the Tools of Fraud Detection
- A survey on opinion mining and sentiment analysis: Tasks, approaches and applications
- Distributed Multinomial Regression
- Document Classification by Inversion of Distributed Language Representations
- Fine-grained analysis of explicit and implicit sentiment in financial news articles
- The good, the bad and the implicit: A comprehensive approach to annotating explicit and implicit sentiment
- Character-level Convolutional Networks for Text Classification
2014
- Who writes the news? Corporate press releases during merger negotiations
- Every tweet counts? How sentiment analysis of social media can improve our knowledge of citizens’ political preferences with an application to Italy and France
- Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
- Good news and bad news: Evidence of media bias in unemployment reports
- Deep Speech: Scaling up end-to-end speech recognition
- Media Makes Momentum
- Tone Management
- VADER: A Parsimonious Rule-based Model for Sentiment Analysis of Social Media Text
- Textual sentiment in finance: A survey of methods and models
- Measuring Readability in Financial Disclosures
- Are They Different? Affect, Feeling, Emotion, Sentiment, and Opinion Detection in Text
- GloVe: Global Vectors for Word Representation
- Winners in the spotlight: Media coverage of fund holdings as a driver of flows
- When the Use of Positive Language Backfires: The Joint Effect of Tone, Readability, and Investor Sophistication on Earnings Judgments
- Big Data: New Tricks for Econometrics
- Housing booms and media coverage
- Hashing for Similarity Search: A Survey
- A Review on Multi-Label Learning Algorithms
2013
- Sentiments
- A biterm topic model for short texts
- Good news, bad news, and consumer confidence
- The Rise of Big Data: How It’s Changing the Way We Think About the World
- Recent Developments in openSMILE, the Munich Open-source Multimedia Feature Extractor
- Sentiment during Recessions
- Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts
- Dynamic Joint Sentiment-Topic Model
- Word power: A new approach for content analysis
- The role of the media in corporate governance: Do the media influence managers’ capital allocation decisions?
- IPO first-day returns, offer price revisions, volatility, and form S-1 language
- Distributed Representations of Words and Phrases and Their Compositionality
- Crowdsourcing a word-emotion association lexicon
- Multinomial Inverse Regression for Text Analysis
- Measuring Political Sentiment on Twitter: Factor Optimal Design for Multinomial Inverse Regression
2012
- Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence
- Managers’ Use of Language Across Alternative Disclosure Outlets: Earnings Press Releases versus MD\&A
- Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm Value
- The Power of Voice: Managerial Affective States and Future Firm Performance
- Earnings conference calls and stock returns: The incremental informativeness of textual tone
- Exploring the validity of electronic newspaper databases
- Breaking news online
- Selective Publicity and Stock Prices
- Reading between the lines: An empirical examination of qualitative attributes of financial analysts’ reports
- Affective News: The Automated Coding of Sentiment in Political Texts
2011
- Cooooooooooooooollllllllllllll!!!!!!!!!!!!!!: using word lengthening to detect sentiment in microblogs
- Beyond the Numbers: Measuring the Information Content of Earnings Press Release Language
- An intraday market risk management approach based on textual analysis
- The Model Confidence Set
- When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks
- Barron’s Red Flags: Do They Actually Work?
- What Makes Conference Calls Useful? The Information Content of Managers’ Presentations and Analysts’ Discussion Sessions
- Rise of VAR Modelling Approach
- Disclosure Tone and Shareholder Litigation
- Scikit-learn: Machine Learning in Python
- Lexicon-Based Methods for Sentiment Analysis
- Discovering Fine-Grained Sentiment with Latent Variable Structured Prediction Models
- All the News That’s Fit to Reprint: Do Investors React to Stale Information?
2010
- SentiWordNet 3.0: An Enhanced Lexical Resource for Sentiment Analysis and Opinion Mining
- The Tone of Local Presidential News Coverage
- Management’s tone change, post earnings announcement drift and accruals
- On the Construction of the European Economic Sentiment Indicator
- What Drives Media Slant? Evidence From U.S. Daily Newspapers
- Regularization Paths for Generalized Linear Models via Coordinate Descent
- A Method of Automated Nonparametric Content Analysis for Social Science
- The Information Content of Forward-Looking Statements in Corporate Filings - A Naive Bayesian Machine Learning Approach
- SentiWS - A Publicly Available German-language Resource for Sentiment Analysis
2009
- The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis
- Joint Sentiment/Topic Model for Sentiment Analysis
- Data Mining for Business Applications
- A Wolf in Sheep’s Clothing: The Use of Ethics-Related Terms in 10-K Reports
- Natural Language Processing with Python
2008
- Are Investors Influenced By How Earnings Press Releases Are Written?
- Annual report readability, current earnings, and earnings persistence
- Network TV news framing of good vs. bad economic news under Democrat and Republican presidents: A lexical analysis of political bias
- More Than Words: Quantifying Language to Measure Firms’ Fundamentals
- Text Mining Infrastructure in R
- Finding News Stories: A Comparison of Searches using LexisNexis and Google News
2007
- Investor Sentiment in the Stock Market
- A correlated topic model of Science
- Yahoo! For Amazon: Sentiment Extraction from Small Talk on the Web
- Sports Sentiment and Stock Returns
- Framing, Agenda Setting, and Priming: The Evolution of Three Media Effects Models
- Giving Content to Investor Sentiment: The Role of Media in the Stock Market
2006
- Investor Sentiment and the Cross-Section of Stock Returns
- Dynamic Topic Models
- Sentiment Retrieval using Generative Models
- Market Reaction to Verbal Components of Earnings Press Releases: Event Study Using a Predictive Algorithm
- Fully automatic lexicon expansion for domain-oriented sentiment analysis
- Handbook of Economic Forecasting
2005
2004
- Is all that talk just noise? The information content of internet stock message boards
- Investor sentiment and the near-term stock market
- Mining Opinion Features in Customer Reviews
- Consumer Confidence and Consumer Spending
- WordNet-Affect: An Affective Extension of WordNet
2003
- Latent Dirichlet Allocation
- A real-time data set for macroeconomists: Does the data vintage matter?
- Survey of compressed-domain features used in audio-visual indexing and analysis
2002
- Two-Sided Equivalence Testing Of The Difference Between Two Means
- Thumbs Up? Sentiment Classification Using Machine Learning Techniques
- Thumbs up or thumbs down? Semantic orientation applied to unsupervised classification of reviews
2001
1999
1997
1996
1995
1936-1990
- Noise trader risk in financial markets
- How Useful Is the Sentiment Index?
- Bank Runs, Deposit Insurance, and Liquidity
- The Framing of Decisions and the Psychology of Choice
- Econometrics - Alchemy or Science?
- Measuring Facial Movement
- A Statistical Interpretation of Term Specificity and Its Application in Retrieval
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Two Storage Mechanisms in Free Recall
- The General Inquirer: A computer approach to content analysis
- The General Theory of Employment, Interest, and Money