Abstract
Given the ever-increasing volume of information in financial markets, investors must rely on aggregated secondary data sources. Such data sources include indices such as the Ifo Business Climate Index in Germany or the Purchasing Manager Index (PMI) in the United States. However, such indices typically require one to interview experts and are thus cost-intensive and only published with a certain time lag. In contrast, we suggest evaluating the role of sentiment encoded in the mandatory, stock-relevant disclosures of stock-listed companies on various economic indicators. Such sentiment analysis builds on primary information, which covers a large share of the economy, comes at little cost and can reflect new information instantaneously. Our results suggest that such a sentiment analysis explains moves in stock indices and macroeconomic factors, namely the new order flow and unemployment rate.
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Notes
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Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin).
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Kindly provided by Deutsche Gesellschaft für Ad-Hoc-Publizität (DGAP).
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Förschler, F., Alfano, S. (2017). Reading Between the Lines: The Effect of Language Sentiment on Economic Indicators. In: Feuerriegel, S., Neumann, D. (eds) Enterprise Applications, Markets and Services in the Finance Industry. FinanceCom 2016. Lecture Notes in Business Information Processing, vol 276. Springer, Cham. https://doi.org/10.1007/978-3-319-52764-2_7
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