Statistiche › Pattern tradabili › News sentiment decay
Good news is priced in two days and bad news takes a quarter
| Orizzonte | Spread | t |
|---|---|---|
| Day before release | 0.50% | 22.4 |
| Release day | 1.99% | 63.9 |
| One day after | 0.17% | 9.8 |
| Two days after | 0.04% | 2.5 |
| Three days after | 0.02% | 1.2, not significant |
| Release week | 3.75% | 37.0 |
| One week after | 0.32% | 3.9 |
| Twelve weeks after | 0.01% | 0.2, not significant |
| Thirteen weeks after | 0.21% | 2.6 |
Quintile long short spreads on daily data and decile spreads on weekly data, 900,754 firm tagged news stories over 417 weeks from 2003 to 2010, sentiment scored by a neural network trained on 3,000 hand annotated articles. Momentum adjusted and size adjusted weekly spreads are 3.61 and 3.62 per cent with t statistics of 41.9 and 36.8, so the effect is not a factor exposure.
The long short spread on news sentiment is 1.99 per cent on the day of release and 0.17 per cent the next. On weekly data the positive effect fades within three weeks while the negative effect persists for all thirteen.
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