Within an ongoing research project by the chair of e-Finance at University of Frankfurt, first results show that BrandON Media data can be helpful to explain financial variables such as stock returns. Focusing on a large sample of more than 300,000 company-related messages posted in social media such as Facebook as well as news published on classic web portals, the sentiment expressed within these sources is related to the consequent capital market reaction. In addition, a unique measure determined by BrandON Media – News Popularity – is taken into account. News Popularity measures how trendy a specific news story is and thus resembles the possibility that investors notice a particular news item.
Based on panel regression analysis, indications for relationships between news sentiment, news popularity, and the consequent financial market reactions are observed. Furthermore, basic investment strategies based on BrandON Media’s sentiment and news popularity measures are simulated. Initial results provide indications that sentiment and popularity measures can add economic value. Good results can already be achieved taking into account sentiment data only. However, results can be improved if investors rely on both measures provided by BrandON Media: the sentiment of a news item as well as the importance of the corresponding message.
Currently, additional analyses are performed in order to gain deeper insights into sentiment dynamics and the impact of News Popularity to provide a more comprehensive view on the observed relationships.
About BrandON Media AG:
BrandON Media AG is a provider of Social Media monitoring, data mining and analytics solutions for mid- to big-sized companies. They offer a broad product suite for generic applications as well as a range of very specific industry use cases (e.g. Automotive After Sales, Investor Relations). BrandON Media AG is currently present on the German and Polish markets.
About Chair of e-Finance:
The Chair of Business Administration, especially e-Finance at the Faculty of Economics and Business Administration deals with fundamental and current questions regarding electronic financial services and electronic securities trading in particular. Our activities in research and teaching include all facets of e-Finance, which range from customer interfaces in electronic banking and brokerage over market intermediaries to business models, infrastructure and technical concepts for electronic markets.