ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS

Journal of Economic Surveys - Tập 34 Số 3 - Trang 512-547 - 2020
Andres Algaba1,2, David Ardia3, Keven Bluteau3,1, Samuel Borms2,4, Kris Boudt1,2,5
1Department of Economics, Universiteit Gent
2Faculty of Social Sciences and Solvay Business School, Vrije Universiteit Brussel
3Department of Decision Sciences HEC Montréal
4Institute of Financial Analysis University of Neuchâtel
5School of Business and Economics, Vrije Universiteit Amsterdam

Tóm tắt

AbstractThe advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it assentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software.

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