A Leader in Unstructured Financial Data
In this paper we expand on the Liew (2016) paper exploring the predictive power of StockTwits based sentiment data. We postulate that using a fine grain text analytics approach on social media posts is a better representative of the sentiment factor. This new model shows improvement in both Fama French 5 Factor Model and the Liew paper.
Leave a Reply
Want to join the discussion?Feel free to contribute!