Introducing the sentometrics field

2020-09-01 2 min read

The 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. This emerging research field is referred to as sentometrics, which is a portmanteau of sentiment (analysis) and econometrics.

logos VUB and HEC

Below is an initial list of relevant papers. These research projects are carried out by a joint group of collaborators mainly at the Vrije Universiteit Brussel (in Belgium) and HEC Montréal (in Canada) working on sentometrics.

Survey

An overview of the required steps in a typical econometric analysis of sentiment from textual data.

  • Algaba, A., Ardia, D., Bluteau, K., Borms S., Boudt, K. (2020). Econometrics meets sentiment: An overview of methodology and applications. Journal of Economic Surveys 34, 512-547. Link

Vignette

An extensive introduction to the R package sentometrics.

  • Ardia, D., Bluteau, K., Borms, S. & Boudt, K. (2021). The R package sentometrics to compute, aggregate and predict with textual sentiment. Journal of Statistical Software, 99, 1-40. Link

Empirical applications

  • Ardia, D., Bluteau, K., Boudt, K. (20xx). Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets. Link Preprint

  • Ardia, D., Bluteau, K., Kassem, A. (2021). A century of economic policy uncertainty through the French-Canadian lens. Economics Letters, 205. Link Preprint

  • Borms, S., Boudt, K., Van Holle, F., Willems, J. (2021). Semi-supervised text mining for monitoring the news about the ESG performance of companies. In: Consoli S., Reforgiato Recupero D., Saisana M. (eds) Data Science for Economics and Finance. Springer, Cham. Link Preprint

  • Algaba, A., Borms, S., Boudt, K., Verbeken, B. (2020). Constructing a real-time consumer confidence index using media news articles. Working paper. Preprint

  • Ardia, D., Bluteau, K., Boudt, K., Inghelbrecht, K. (2020). Climate change concerns and the performance of green versus brown stocks. National Bank of Belgium, Working Paper Research, October 2020 No 395 Preprint

  • Algaba, A., Borms, S., Boudt, K., van Pelt, J. (2020). The economic policy uncertainty index for Flanders, Wallonia and Belgium. Bank- en Financiewezen digitaal 2020/6. Link Preprint

  • Ardia, D., Bluteau, K., Boudt, K. (2019). Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values. International Journal of Forecasting 35, 1370-1386. Link