The Study on the Relationship between the Sentiment Score of Strategist Reports and the Stock Returns

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Other Title
  • ストラテジストレポートの感情分析と株式リターンに関する研究
  • ストラテジスト レポート ノ カンジョウ ブンセキ ト カブシキ リターン ニ カンスル ケンキュウ

Description

This study shows the relationship between the sentiment score of strategist reports and the stock return. In this study sentiment scores are computed on the basis of five methods; (1) Polarity Value, (2) TF-IDF, (3) Word2Vec ,(4) LSTM , (5) Doc2Vec. There are low correlations between these sentiment scores. And, these scores have the difference in the relationship with future stock returns. (1) Polarity Value and (2) TF-IDF do not have adequate predictability for stock returns. The reason is that number of positive/negative words do not have good relationship to future stock returns. However, (3) Word2Vec ,(4) LSTM , (5) Doc2Vec provide better predictability for future stock returns. It is because the context and the pattern of expression in reports have good prediction of future stock returns.

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