6.3 NEWS DATA STRUCTURE AND STATISTICS
We are using data from the Thomson Reuters NewsScope Sentiment Engine (RNSE), developed with Infonics (RNSE, 2008). These data have
- Global scope, to examine both US and international markets.
- Broad coverage, currently over 7,000 US stocks, more than adequate for our test sample of the contemporaneous S&P 1500 stocks over the period.
- Rich metadata—sentiment, relevance to a stock, topic codes, and links to previous related stories.
- Up-to-date 6-year history (2003–2009).1
- Real-time availability.
Thomson Reuters also furnished accurate synchronized pricing data, with Reuters Instrument Code (RIC) security identifiers matching the news and price data. We are very appreciative to the Thomson Reuters Data Team for assembling such a clean product.
6.3.1 Sample news data
Figure 6.2 shows a sample of RNSE data.
6.3.2 Descriptive news statistics and trends
A number of noteworthy trends are in evidence in Figures 6.3-6.6, showing remarkable growth in scope, depth, and volume of news. RIC refers to Reuters Instrument Codes, a great resource in linking news to prices.
Figures 6.3-6.6 show only the numbers of news events. Figure 6.7 is a very intuitively satisfying picture of the overall sentiment of the news in recent years.
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