Stock Return Predictability based on Textual Sentiment Analysis: a review
DOI:
https://doi.org/10.17524/repec.v17i2.3111Keywords:
Análise Textual, Sentimento Textual, Retorno das Ações, Revisão SistemáticaAbstract
Objective: To analyze how research addressing textual analysis as a tool to predict the return on stocks in the capital market has evolved.
Method: Systematic literature review supported by the VosViewer software; 78 empirical studies written in English and indexed in the Web of Science were analyzed.
Results: The results show evidence that textual sentiment can predict the return on stocks and be captured from varied sources of information. Four categories emerged from the analysis corresponding to sources of information for textual analysis: financial news (31), corporate disclosures (29), social media (16), and other documents (8).
Contributions: This paper contributes to the academic milieu by showing the main findings of studies on the topic and suggesting topics for future research. In a practical context, it presents to investors evidence that textual information provided by companies may also cause reactions in the market.
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