Markit Employs Social Media Indicators to Evaluate Future Stock …
On March 4, 2014, Markit announced that it has partnered with Social Market Analytics (SMA) to provide customers with new signals of investor sentiment that will enhance customers’ trading strategies and investment processes. As a result of this partnership, Markit will add social media indicators to its suite of more than 400 investment factors; these social media indicators can be used by customers to evaluate the expected performance of stocks-based sentiment indicators.
An analytical study of social media signals, entitled “#Alpha: Extracting Market Sentiment from 140 Characters,” concluded that the signals accurately and consistently predict future stock returns. From December 2011 to November 2013, Markit’s analysis found positive social media sentiment stocks have shown cumulative returns of 76%, while negative sentiment stocks have returned -14%.
Markit’s social media indicators are based on SMA’s analysis of the text content in daily Twitter posts. Tweets are filtered for financial trading relevance and are scored for market sentiment content. Using aggregate Tweet data to identify potential buy and sell candidates, the indicators gauge investor outlook on stocks covering the following broad categories: tweet sentiment, tweet volume, relative value, changing sentiment, and dispersion.
SMA data analyzes social media streams to estimate market sentiment. SMA’s patent pending process extracts relevant tweets, validates the source, and evaluates the meaning. Metrics are converted into actionable indicators called S-FactorsTM; these indicators are designed to capture financial market sentiment.
Markit has introduced 22 social media indicators using SMA sentiment data to its existing library of 400 factors. Markit’s factors span 12 categories, including measures of relative value, earnings momentum, earnings quality, and price momentum. These signals are included in Markit’s factor analytics platform, a fully integrated research and signal management platform which allows seamless custom model building and strategy deployment for equity and fixed income.
See the original announcement.
Data Sources: Markit | Effective Date: March 04, 2014
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Markit Employs Social Media Indicators to Evaluate Future Stock …
