The question of how public news announcements affect stock prices has been in the spotlight of researchers’ and practitioners’ attention for a long time. In the last decade, with the emergence of machine-readable news, the attention has also focused on quantifying sentiment in news and its relationship with asset prices. This paper investigates how stock-specific and market-wide news sentiments, obtained from Thomson Reuters News Analytics, affect abnormal returns of S&P 500 stocks.
Dr Svetlana Borovkova
Currently an Associate Professor of Quantitative Finance at the Vrije Universiteit Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.
Dr Borovkova's research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation.
She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy. Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others. Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.
She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.