Arbitraging News Sentiment Across Global Equities





The interactive transcript could not be loaded.


Rating is available when the video has been rented.
This feature is not available right now. Please try again later.
Published on Jan 23, 2015

Presenter: Richard Peterson; MarketPsych

Webinar Abstract:

In our research on the new global equities Thomson Reuters MarketPsych Indices (TRMI), we have found that several sentiments and macroeconomic themes are markers of overreaction and, less so, underreaction across stocks in global markets. Both Canadian and American listed stocks are underpriced when high levels of media Anger are associated with them (Anger TRMI), with American stocks particularly overreacting when corporate leadership is mistrusted (ManagementTrust TRMI). Hong Kong stocks overreact to weekly news Sentiment (Sentiment TRMI). Singporean stocks overreact to Volatility (Volatiity TRMI). Some themes are common to global markets, and others are region-specific and may be based on regional media delivery and market structural factors. Cultural factors, as illuminated in experimental psychology research, may also be at work. The mispricings based on these indicators lend themselves to powerful rotating "information arbitrage" models. This talk will illuminate the key drivers of global stocks over various time horizons with reference to local explanatory variables. The talk will also highlight the ongoing forward-tested outperformance of rotational weekly and yearly models discussed in prior Unicom events.

Presenter CV:

Richard Peterson is CEO of MarketPsych Data which produces psychological and macroeconomic data derived from text analytics of news and social media. MarketPsych's data is consumed by the world's largest hedge funds. Dr. Peterson is an award-winning financial writer, an associate editor of the Journal of Behavioral Finance, has published widely in academia, and performed postdoctoral neuroeconomics research at Stanford University.


to add this to Watch Later

Add to

Loading playlists...