Abgeschlossene Arbeiten

Text Tonality and Stock Returns: A Literature Review

Art der Arbeit

Status

Abgeschlossene Arbeit

Ansprechpartner*in

Alexander Lauber, M.Sc.

Gutachter

Kenntnisse: Grundlagen der Statistik; Ökonometrie / Optimal: Grundkenntnisse über Maschinelle Textanalysen and allgemeinen Textanalyseverfahren

Ziel: Ausgehend von der Literatur soll untersucht werden, welche Verfahren es für die Bestimmung von Text-Tonalität (für bspw. Zeitungsartikel oder Geschäftsberichte) im Business-Kontext gibt. Zudem soll der Einfluss von Text-Tonalität auf die Aktienpreise der entsprechenden Unternehmen untersucht werden.

Einführungsliteratur:

Dougal, Casey/Engelbert, Joseph/García, Diego/Parsons, Christopher A. (2012): Journalists and the Stock Market, in: The Review of Financial Studies, Vol. 25, No. 3, p. 639–679.
Loughran, Tim/McDonald, Bill (2011): When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks, in: The Journal of Finance, Vol. 66, No. 1, p. 35–65.
Tetlock, Paul C. (2007): Giving Content to Investor Sentiment: The Role of Media in the Stock Market, in: The Journal of Finance, Vol. 62, No. 3, p. 1139–1168.
Tetlock, Paul C./Saarl-Tsechansky, Maytal/Macskassy, Sofus (2008): More Than Words: Quantifying Language to Measure Firms' Fundamentals, in: The Journal of Finance, Vol. 63, No. 3, p. 1437–1467.

Hilfreich für die weitere Literaturrecherche:

Knowledge: Basics of statistics; econometrics / Optimal: Basic knowledge of machine text analysis and general text analysis methods

Goal: Based on the literature, it will be investigated which methods exist for the determination of text tonality (for e.g. newspaper articles or annual reports) in a business context. In addition, the influence of text tonality on the stock prices of the corresponding companies will be investigated.

Introductory literature:

Dougal, Casey/Engelbert, Joseph/García, Diego/Parsons, Christopher A. (2012): Journalists and the Stock Market, in: The Review of Financial Studies, Vol. 25, No. 3, p. 639–679.
Loughran, Tim/McDonald, Bill (2011): When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks, in: The Journal of Finance, Vol. 66, No. 1, p. 35–65.
Tetlock, Paul C. (2007): Giving Content to Investor Sentiment: The Role of Media in the Stock Market, in: The Journal of Finance, Vol. 62, No. 3, p. 1139–1168.
Tetlock, Paul C./Saarl-Tsechansky, Maytal/Macskassy, Sofus (2008): More Than Words: Quantifying Language to Measure Firms' Fundamentals, in: The Journal of Finance, Vol. 63, No. 3, p. 1437–1467.

Helpful for further literature research: