التفاصيل البيبلوغرافية
| العنوان: |
News-induced style seasonality |
| المؤلفون: |
Gillain, Cédric, Ittoo, Ashwin, Lambert, Marie |
| سنة النشر: |
2019 |
| مصطلحات موضوعية: |
Asset pricing, Style investing, Textual analysis, Machine learning, Business & economic sciences :: Finance, Sciences économiques & de gestion :: Finance |
| جغرافية الموضوع: |
international |
| الوصف: |
This paper posits a new methodological approach to test how specialized media could influence theinformation transmission channels towards investors. We contribute to the literature on the role of mediaon investor limited attention, on seasonal effects in market anomalies and on the impact of news onmarket anomalies. Our approach is somewhat different from the current literature as we determinewhether we can detect any seasonality in the news coverage of recommendations, analyses or opinions oninvestment styles provided by specialized press to institutional investors. Our paper not only contributesto the literature on market anomalies and seasonality effects in financial markets but also aligns itself witha new strand of research involving the application of text mining in finance. First, our text corpus gathersarticles from specialized press targeting institutional investors. Such a corpus is unique and has neverbeen investigated. Second, we build our own dictionaries from several statistical methods to extract styleinformation from news flow. The method is innovative and our study is the first to investigate theseasonality in the underlying information channel. At this stage, the paper is mainly methodological andcentered on small and large styles. Results will be extended to other investment styles in the near futureand completed with statistical test of cyclicality and trend analysis. |
| نوع الوثيقة: |
conferencePaper |
| اللغة: |
English |
| Relation: |
36th International Conference of the French Finance Association (AFFI), Québec, Canada (June 17-19, 2019) |
| URL الوصول: |
https://orbi.uliege.be/handle/2268/245032 |
| Rights: |
info:eu-repo/semantics/openAccess |
| رقم الانضمام: |
edsorb.245032 |
| قاعدة البيانات: |
ORBi |