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뉴스/소셜 미디어 텍스트와 투자자 기대

Author
이주화, 류두진
Journal Title
경영학연구
Publication Year
2021
Summary

This study analyzes whether investor expectation implied by news articles and social media text affects stock returns in the Korean market. Utilizing word embedding based on Word2Vec and bi-directional LSTM networks, the study constructs positive/negative expectation indices and finds that both news and social media expectation indices explain stock return movements. Interestingly, investor expectation extracted from social media outperforms that from news articles.

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