A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40

Fabian Billert and Stefan Conrad

Papers from arXiv.org

Abstract: We extract the sentiment from german and english news articles on companies in the DAX40 stock market index and use it to create a sentiment-powered pendant. Comparing it to existing products which adjust their weights at pre-defined dates once per month, we show that our index is able to react more swiftly to sentiment information mined from online news. Over the nearly 6 years we considered, the sentiment index manages to create an annualized return of 7.51% compared to the 2.13% of the DAX40, while taking transaction costs into account. In this work, we present the framework we employed to develop this sentiment index.

Date: 2024-09
New Economics Papers: this item is included in nep-big and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2409.20397 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2409.20397

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().