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2023
- handle: 10670/1.rqpo0k
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C45 C50 G11 ESG Stock Market Prediction Sentiment Analysis News Big DataSujets proches
Military strategy Trading, Stock Common stocks Stock offerings Stock issues Equity financing Stock trading Common shares Equity capital Shares of stock Equities Investment management Antithesis Opposites Contrariety Competence Papers Public markets Prediction Forecasts Futurology Large data sets Data sets, Large Methods of analysis Analysis and chemistry Analytical methods Chemical analysis Analysis methods Analysis and examinationCiter ce document
Stéphane Goutte et al., « Portfolio management with ESG news sentiment », Bankers, Markets & Investors, ID : 10670/1.rqpo0k
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In this paper, we introduce a novel news sentiment database and analyze its potential applications in the financial markets via several trading experiments. We analyze the predictability of the news sentiment (both general news and ESG-related news) on the return of European stocks and the potential of applying them as a proper trading strategy over seven years from 2015 to 2023. We find that sentiment indicators such as Tone, and Polarity show significant relationships to the return of the stock price. Those relationships can be exploited, even in the most naive way, to create trading strategies that can be profitable and outperform the market. Furthermore, among the indicators, those extracted from ESG-related news tend to show better performance. This sentiment database is available through a bespoke app at the website https://esg.cafe