Good News or Bad News? Let the Market Decide

Moshe Koppel and Itai Shtrimberg

News stories about publicly traded companies are labeled positive or negative according to price changes of the company stock. It is shown that models based on lexical features can distinguish good news from bad news with accuracy of about 70%. Unfortunately, this works only when stories are labeled according to cotemporaneous price changes but does not work when they are labeled according to subsequent price changes.

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