Application Of Sentiment Analytics To Fama-French Model

May 27, 2018
SMA Team

In this paper we expand on the Liew (2016) paper exploring the predictive power of StockTwits based sentiment data. We postulate that using a fine grain text analytics approach on social media posts is a better representative of the sentiment factor. This new model shows improvement in both Fama French 5 Factor Model and the Liew paper.

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