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1 San Francisco QWAFAFEW News & Social Media Analytics for Behavioral Market Mispricings 15 Jun 2016 Elijah DePalma, PhD Senior Quantitative Research Analyst
2 AGENDA Preliminaries Market Mispricings Relative Popularity Market Sentiment
3 Trending Research HFT & Trade Execution Enhancing Equity Trading Strategies and Trade Execution using Sentiment and Illiquidity Elektron Whitepaper (2015) Using automated text analytics to quantify high frequency news-implied market reactions J Empirical Finance (2013) Stock Selection Reuters Sentiment and Stock Returns J Behavioral Finance (2014) Improving the Power of Predicted Surprise with TRNA News Sentiment StarMine Whitepaper (2014) Commodities & Energy The Role of News in Commodity Markets Working paper (2015) News sentiment in the gold futures market J Banking & Finance (2014) FX Emotions Matter: Sentiment and Momentum in Foreign Exchange J Behavioral Finance (2017) Private Information in Currency Markets Working paper (2016) Thomson Reuters Machine Readable News News Analytics News Archive MarketPsych Indices Supply-Chain Economics Economic Linkages Inferred from News Stories and the Predictability of Stock Returns Working paper (2016) Social Media Listening & Supply Chains Thomson Reuters internal analysis (2016) Global Macro Using News Sentiment Momentum for Tactical Asset Allocation J Portfolio Management (2015) The adverse effects of systematic leakage ahead of official sovereign debt rating announcements J Financial Economics (2015) Systemic Risk Does Unusual News Forecast Market Stress? Working paper (2016) SenSR: A News Sentiment-Based Systemic Risk Indicator Working paper (2016) 3
4 Thomson Reuters Machine Readable News Reuters & 3 rd -Party News (Examples) Professional News (Examples) Social Media (Examples) News Analytics MarketPsych Indices Real-Time Feed per News Item Aggregated News Feed Aggregated Social Media Feed Entities Companies C&E Document-Level Analytics Real-time processing 300ms State-of-the-art NLP Sentiment, Relevance, Novelty Native Japanese-language analytics Thomson Reuters Permanent Identifier Companies Securities Quotes Deals, People, Entities Companies Markets Countries Currencies C&E Analytics Feeds updated minutely Analytics Volume Metric (Buzz) Emotional Indices (Sentiment, Fear, Trust, Anger, ) Event Indices (Layoffs, Mergers, Social Unrest, ) Macro Indices (Inflation, Sanctions, Unemployment, ) Precision & Granularity Breadth of Content 4
5 Pre-Market News: Aggregated vs. Reuters MarketPsych Indices Aggregated professional news Noisy news sentiment signal News Analytics Filter to relevant, breaking Reuters news Strong news sentiment signal 5
6 Investor Attention on Pre-Market News Social Media Buzz on breaking news correlated with trading activity at market open proxy Social Media Buzz Investor Attention on News 6
7 AGENDA Preliminaries Market Mispricings Relative Popularity Market Sentiment
8 Media-Driven Behavioral Market Mispricings TRMI News Signals: Earnings Forecast * Buzz Volume of words & phrases on expectations of improving earnings, less those of worsening earnings *Identify signals from top (bottom) decile over T12M, with positive (negative) Day 0 returns Strong market reaction coincident with earnings forecast news signals Significant post-news event abnormal return drift favailability & Loss-Aversion foverconfidence & Anchoring Over-reaction to negative earnings forecast news Under-reaction to positive earnings forecast news See Fuller & Thaler: How We Use Behavioral Finance to Invest. Raife Giovinazzo (2016) 8
9 Media-Driven Behavioral Market Mispricings TRMI News Signals conditioned on Social Media Buzz Social Media Buzz: Volume of company-specific words & phrases in Social Media sources Stronger market reactions to earnings forecast news signals with high Social Media Buzz Greater post-news event abnormal return drift following news signals with low Social Media Buzz Behavioral market mispricings are strongest following news signals with low investor attention See Investor Attention and the Pricing of Earnings News. Curtis et al. (2014) 9
10 Daily News & Social Media Volumes News & Social Media Buzz dominated by large caps News & Social Media Buzz dominated by sectors: Technology Consumer Cyclicals Industrials Financials 10
11 Media-Driven Mispricing Signals Pure Alpha Equity Curves Outperformance over sectors and market *Enter trades at close of following day, with 15-day holding periods Performance improves over universes with increasingly large News & Social Media Buzz Behavioral market mispricings are strongest on companies with large News & Social Media exposure 11
12 UK News & Social Media Signals TRMI News Signals conditioned on Social Media Buzz UK Companies (FTSE 350) No post-event return drift following earnings forecast news in UK Strong market reaction coincident with earnings forecast news signals & Market reaction significantly increases with high Social Media Buzz News & Social Media analytics might be used to identify behavioral market mispricings in the UK 12
13 AGENDA Preliminaries Market Mispricings Relative Popularity Market Sentiment
14 Investment Styles & Popularity Factor Investing: Smart beta hype or strategic value? Diversify across Asset Classes Global Stocks Global Bonds Commodities Diversify across Style Premia Value Momentum Carry Defensive Trend-Following Conclusion Strategic style diversification reduces sensitivity (risk) to the macro environment JPM, 2014 Research Goal: Identify firm-specific News & Social Media drivers of style performance Proposal Measure firm-specific relative popularity as the 1Q-1Q change in Social Media Buzz JPM, 2014 Morningstar May 2015 Screen Fundamental Value signals Increasing Social Media Buzz Over-valued signal Decreasing Social Media Buzz Under-Valued signal Relative popularity drives returns Permanent risk premia Temporary behavioral mispricings 14
15 Fundamental Value & Social Media Popularity Value & Profitability: StarMine Intrinsic Value & Earnings Quality Models Screen out increasing Social Media Buzz Screen out decreasing Social Media Buzz Restrict to S&P 500 Large Social Media Buzz Restrict to years Emergence of Social Media Use News & Social Media signals to strengthen fundamental factors 15
16 AGENDA Preliminaries Market Mispricings Relative Popularity Market Sentiment
17 Market News Sentiment Indices Behavioral Influence of Market Sentiment Market Sentiment Market Return Post-Earnings Announcement Drift Accruals & Earnings Revisions Anomalies Risk Pricing (-) Market Sentiment CAPM (+) Market Sentiment Low-Vol Anomaly Nov 2014 Investment Style Timing (Value vs. Momentum) Dynamically exploit Accruals vs. Earnings Revisions Anomalies Value investing in (-) sentiment periods Accruals anomaly Momentum investing in (+) sentiment periods Earnings revisions anomaly F1M Market Beta Portfolios Out-of-sample performance CAPM Market β ~ Risk Factor Diversify market risk Low-Vol Anomaly Market β ~ Alpha Factor Tilt towards low risk See Investor Sentiment, Beta and the Cost of Equity Capital. Antoniou et al. (2015) 17
18 Japanese Market News Sentiment & Momentum Sentiment Periods Tertiles Optimistic Mild Pessimistic Momentum Portfolios: StarMine Long-Term Price Momentum Momentum failure in JP equities is sensitive to market sentiment Japan has the world s largest % of population ages 65+ (World Bank) See Momentum and Investor Sentiment: Evidence from Asian Stock Markets. Anusakamar et al. (2012) 18
19 Future Directions Macro News Sentiment Indices Corporate News Filter companies by sector, size, etc. Filter to news on earnings, mergers, etc. Economic & Government News Document-level sentiment News Analytics v4.0 Currencies, Treasuries, Legal, Politics, etc. Research in Progress Market Cap-Weighted vs. Fundamentally-Weighted Indices Russell 1000 vs. FTSE RAFI US 1000 Identify hypotheses for underlying drivers Construct predictive macro news sentiment indices 19
20
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