MSBA F2023 Sep 5 Sentiment Analysis

ANALYTICS FOR UNSTRUCTURED DATA Sentiment Analysis MSBA Fall 2023 5 th September Dr. Anitesh Barua David Bruton Jr. Centennial Chair Professor of Business Distinguished Fellow, INFORMS Information Systems Society Stevens Piper Foundation Professor University of Texas Distinguished Teaching Professor McCombs School of Business, University of Texas at Austin Email: [email protected]

Incorporating Sentiments & Mentions in the Stock Returns Model  Do message sentiments improve prediction of returns?  How about news items?  Training data for stock sentiments

Predicting Stock Returns (the Trillion $ Question): Do Sentiments Matter?  Capital Asset Pricing Model (CAPM)  Fama-French factors  Return on an asset  r = R f + β .( K m - R f ) + b s . SMB + b v .HML + α  R f : risk free rate , K m : Return of market portfolio  SMB: Small (market cap) minus big  HML: High (book-to-mkt) minus low  Addition of momentum (Up minus Down) factor