Evaluating a news‐aware quantitative trader: The effect of momentum and contrarian stock selection strategies

Robert P. Schumaker and Hsinchun Chen

Journal of the American Society for Information Science and Technology, 2008, vol. 59, issue 2, 247-255

Abstract: We study the coupling of basic quantitative portfolio selection strategies with a financial news article prediction system, AZFinText. By varying the degrees of portfolio formation time, we found that a hybrid system using both quantitative strategy and a full set of financial news articles performed the best. With a 1‐week portfolio formation period, we achieved a 20.79% trading return using a Momentum strategy and a 4.54% return using a Contrarian strategy over a 5‐week holding period. We also found that trader overreaction to these events led AZFinText to capitalize on these short‐term surges in price.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jamist:v:59:y:2008:i:2:p:247-255

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https://doi.org/10.1002/(ISSN)1532-2890

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