There has long been interest in the effect of changes in ‘animal spirits’. The paper uses a differences-in-differences approach to estimate the macroeconomic effect of sentiment, comparing periods of high and low sentiment, making use of cross-sectional differences. Sentiment is measured using the Baker-Wurgler (2006) sentiment index. We estimate the effect of sentiment on intertemporal tradeof...

The Stock Sonar (TSS) is a stock sentiment analysis application based on a novel hybrid approach. While previous work focused on document level sentiment classification, or extracted only generic sentiment at the phrase level, TSS integrates sentiment dictionaries, phrase-level compositional patterns, and predicate-level semantic events. TSS generates precise in-text sentiment tagging as well a...

Sentiment analysis research has predominantly been on English texts. Thus there exist many sentiment resources for English, but less so for other languages. Approaches to improve sentiment analysis in a resource-poor focus language include: (a) translate the focus language text into a resource-rich language such as English, and apply a powerful English sentiment analysis system on the text, and...

We investigated the pairing of a financial news article prediction system, AZFinText, with sentiment analysis techniques. From our comparisons we found that news articles of a subjective nature were easier to predict in both price direction (59.0% vs 50.4% without sentiment) and through a simple trading engine (3.30% return vs 2.41% without sentiment). Looking into sentiment further, we found t...

When text is translated from one language into another, sentiment is preserved to varying degrees. In this paper, we use Arabic social media posts as stand-in for source language text, and determine loss in sentiment predictability when they are translated into English, manually and automatically. As benchmarks, we use manually and automatically determined sentiment labels of the Arabic texts. ...

Enormous quantities of review documents exist in forums, blogs, twitter accounts, and shopping web sites. Analysis of the sentiment information hidden in these review documents is very useful for consumers and manufacturers. The sentiment orientation and sentiment intensity of a review can be described in more detail by using a sentiment score than by using bipolar sentiment polarity. Existing ...

With the development of Web 2.0, sentiment analysis has now become a popular research problem to tackle. Recently, topic models have been introduced for the simultaneous analysis for topics and the sentiment in a document. These studies, which jointly model topic and sentiment, take the advantage of the relationship between topics and sentiment, and are shown to be superior to traditional senti...

This paper introduces a new general-purpose sentiment lexicon called the WKWSCI Sentiment Lexicon and compares it with three existing lexicons. The WKWSCI Sentiment Lexicon is based on the 6of12dict lexicon, and currently covers adjectives, adverbs and verbs. The words were manually coded with a value on a 7-point sentiment strength scale. The effectiveness of the four sentiment lexicons for se...

Domain adaptation is an important technology to handle domain dependence problem in sentiment analysis field. Existing methods usually rely on sentiment classifiers trained in source domains. However, their performance may heavily decline if the distributions of sentiment features in source and target domains have significant difference. In this paper, we propose an active sentiment domain adap...

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads t...