Essays on the Impact of Stakeholders' Sentiment on the Financial Decision Making Process

The most important factor that affects the decision making process in finance is the risk which is usually measured by variance (total risk) or systematic risk (beta). Since investors' sentiment (whether she is an optimist or pessimist) plays a very important role in the choice of beta measure, any decision made for the same asset within the same time horizon will be different for different individuals. In other words, there will neither be homogeneity of beliefs nor the rational expectation prevalent in the market due to behavioral traits. This dissertation consists of three essays. In the first essay, Investor Sentiment and Intrinsic Stock Prices, a new technical trading strategy is developed using a firm specific individual sentiment measure. This behavioral based trading strategy forecasts a range within which a stock price moves in a particular period and can be used for stock trading. Results show that sample firms trade within a range and show signals as to when to buy or sell. The second essay, Managerial Sentiment and the Value of the Firm, examines the effect of managerial sentiment on the project selection process using net present value criterion and also effect of managerial sentiment on the value of firm. Findings show that high sentiment and low sentiment managers obtain different values for the same firm before and after the acceptance of a project. The last essay, Investor Sentiment and Optimal Portfolio Selection, analyzes how the investor sentiment affects the nature and composition of the optimal portfolio as well as the performance measures. Results suggest that the choice of the investor sentiment completely changes the portfolio composition, i.e., the high sentiment investor will have a completely different choice of assets in the portfolio in comparison with the low sentiment investor. The results indicate the practical application of behavioral model based technical indicators for stock trading. Additional insights developed include the valuation of firms with a behavioral component and the importance of distinguishing portfolio performance based on sentiment factors.

Research on the influence of behavioral forces that motivate trader behavior and sentiment- a prospect theory exegesis

This study focuses on empirical investigations and seeks implications by utilizing three different methodologies to test various aspects of trader behavior. The first methodology utilizes Prospect Theory to determine trader behavior during periods of extreme wealth contracting periods. Secondly, a threshold model to examine the sentiment variable is formulated and thirdly a study is made of the contagion effect and trader behavior. The connection between consumers' sense of financial well-being or sentiment and stock market performance has been studied at length. However, without data on actual versus experimental performance, implications based on this relationship are meaningless. The empirical agenda included examining a proprietary file of daily trader activities over a five-year period. Overall, during periods of extreme wealth altering conditions, traders "satisfice" rather than choose the "best" alternative. A trader's degree of loss aversion depends on his/her prior investment performance. A model that explains the behavior of traders during periods of turmoil is developed. Prospect Theory and the data file influenced the design of the model. Additional research included testing a model that permitted the data to signal the crisis through a threshold model. The third empirical study sought to investigate the existence of contagion caused by declining global wealth effects using evidence from the mining industry in Canada. Contagion, where a financial crisis begins locally and subsequently spreads elsewhere, has been studied in terms of correlations among similar regions. The results provide support for Prospect Theory in two out of the three empirical studies. The dissertation emphasizes the need for specifying precise, testable models of investors' expectations by providing tools to identify paradoxical behavior patterns. True enhancements in this field must include empirical research utilizing reliable data sources to mitigate data mining problems and allow researchers to distinguish between expectations-based and risk-based explanations of behavior. Through this type of research, it may be possible to systematically exploit "irrational" market behavior.

Text analytics of social media: Sentiment analysis, event detection and summarization

In the last decade, large numbers of social media services have emerged and been widely used in people's daily life as important information sharing and acquisition tools. With a substantial amount of user-contributed text data on social media, it becomes a necessity to develop methods and tools for text analysis for this emerging data, in order to better utilize it to deliver meaningful information to users. ^ Previous work on text analytics in last several decades is mainly focused on traditional types of text like emails, news and academic literatures, and several critical issues to text data on social media have not been well explored: 1) how to detect sentiment from text on social media; 2) how to make use of social media's real-time nature; 3) how to address information overload for flexible information needs. ^ In this dissertation, we focus on these three problems. First, to detect sentiment of text on social media, we propose a non-negative matrix tri-factorization (tri-NMF) based dual active supervision method to minimize human labeling efforts for the new type of data. Second, to make use of social media's real-time nature, we propose approaches to detect events from text streams on social media. Third, to address information overload for flexible information needs, we propose two summarization framework, dominating set based summarization framework and learning-to-rank based summarization framework. The dominating set based summarization framework can be applied for different types of summarization problems, while the learning-to-rank based summarization framework helps utilize the existing training data to guild the new summarization tasks. In addition, we integrate these techneques in an application study of event summarization for sports games as an example of how to better utilize social media data. ^

Text Analytics of Social Media: Sentiment Analysis, Event Detection and Summarization

In the last decade, large numbers of social media services have emerged and been widely used in people's daily life as important information sharing and acquisition tools. With a substantial amount of user-contributed text data on social media, it becomes a necessity to develop methods and tools for text analysis for this emerging data, in order to better utilize it to deliver meaningful information to users. Previous work on text analytics in last several decades is mainly focused on traditional types of text like emails, news and academic literatures, and several critical issues to text data on social media have not been well explored: 1) how to detect sentiment from text on social media; 2) how to make use of social media's real-time nature; 3) how to address information overload for flexible information needs. In this dissertation, we focus on these three problems. First, to detect sentiment of text on social media, we propose a non-negative matrix tri-factorization (tri-NMF) based dual active supervision method to minimize human labeling efforts for the new type of data. Second, to make use of social media's real-time nature, we propose approaches to detect events from text streams on social media. Third, to address information overload for flexible information needs, we propose two summarization framework, dominating set based summarization framework and learning-to-rank based summarization framework. The dominating set based summarization framework can be applied for different types of summarization problems, while the learning-to-rank based summarization framework helps utilize the existing training data to guild the new summarization tasks. In addition, we integrate these techneques in an application study of event summarization for sports games as an example of how to better utilize social media data.

A Machine Learning Analysis of Twitter Sentiment to the Sandy Hook Shootings

Gun related violence is a complex issue and accounts for a large proportion of violent incidents. In the research reported in this paper, we set out to investigate the pro-gun and anti-gun sentiments expressed on a social media platform, namely Twitter, in response to the 2012 Sandy Hook Elementary School shooting in Connecticut, USA. Machine learning techniques are applied to classify a data corpus of over 700,000 tweets. The sentiments are captured using a public sentiment score that considers the volume of tweets as well as population. A web-based interactive tool is developed to visualise the sentiments and is available at this http://www.gunsontwitter.com. The key findings from this research are: (i) There are elevated rates of both pro-gun and anti-gun sentiments on the day of the shooting. Surprisingly, the pro-gun sentiment remains high for a number of days following the event but the anti-gun sentiment quickly falls to pre-event levels. (ii) There is a different public response from each state, with the highest pro-gun sentiment not coming from those with highest gun ownership levels but rather from California, Texas and New York.

Sentiment classification with case-base approach

L’augmentation de la croissance des réseaux, des blogs et des utilisateurs des sites d’examen sociaux font d’Internet une énorme source de données, en particulier sur la façon dont les gens pensent, sentent et agissent envers différentes questions. Ces jours-ci, les opinions des gens jouent un rôle important dans la politique, l’industrie, l’éducation, etc. Alors, les gouvernements, les grandes et petites industries, les instituts universitaires, les entreprises et les individus cherchent à étudier des techniques automatiques fin d’extraire les informations dont ils ont besoin dans les larges volumes de données. L’analyse des sentiments est une véritable réponse à ce besoin. Elle est une application de traitement du langage naturel et linguistique informatique qui se compose de techniques de pointe telles que l’apprentissage machine et les modèles de langue pour capturer les évaluations positives, négatives ou neutre, avec ou sans leur force, dans des texte brut. Dans ce mémoire, nous étudions une approche basée sur les cas pour l’analyse des sentiments au niveau des documents. Notre approche basée sur les cas génère un classificateur binaire qui utilise un ensemble de documents classifies, et cinq lexiques de sentiments différents pour extraire la polarité sur les scores correspondants aux commentaires. Puisque l’analyse des sentiments est en soi une tâche dépendante du domaine qui rend le travail difficile et coûteux, nous appliquons une approche «cross domain» en basant notre classificateur sur les six différents domaines au lieu de le limiter à un seul domaine. Pour améliorer la précision de la classification, nous ajoutons la détection de la négation comme une partie de notre algorithme. En outre, pour améliorer la performance de notre approche, quelques modifications innovantes sont appliquées. Il est intéressant de mentionner que notre approche ouvre la voie à nouveaux développements en ajoutant plus de lexiques de sentiment et ensembles de données à l’avenir.

Multi-class sentiment analysis using a hierarchical logistic model tree approach

En este trabajo se propone un nuevo sistema híbrido para el análisis de sentimientos en clase múltiple basado en el uso del diccionario General Inquirer (GI) y un enfoque jerárquico del clasificador Logistic Model Tree (LMT). Este nuevo sistema se compone de tres capas, la capa bipolar (BL) que consta de un LMT (LMT-1) para la clasificación de la polaridad de sentimientos, mientras que la segunda capa es la capa de la Intensidad (IL) y comprende dos LMTs (LMT-2 y LMT3) para detectar por separado tres intensidades de sentimientos positivos y tres intensidades de sentimientos negativos. Sólo en la fase de construcción, la capa de Agrupación (GL) se utiliza para agrupar las instancias positivas y negativas mediante el empleo de 2 k-means, respectivamente. En la fase de Pre-procesamiento, los textos son segmentados por palabras que son etiquetadas, reducidas a sus raíces y sometidas finalmente al diccionario GI con el objetivo de contar y etiquetar sólo los verbos, los sustantivos, los adjetivos y los adverbios con 24 marcadores que se utilizan luego para calcular los vectores de características. En la fase de Clasificación de Sentimientos, los vectores de características se introducen primero al LMT-1, a continuación, se agrupan en GL según la etiqueta de clase, después se etiquetan estos grupos de forma manual, y finalmente las instancias positivas son introducidas a LMT-2 y las instancias negativas a LMT-3. Los tres árboles están entrenados y evaluados usando las bases de datos Movie Review y SenTube con validación cruzada estratificada de 10-pliegues. LMT-1 produce un árbol de 48 hojas y 95 de tamaño, con 90,88% de exactitud, mientras que tanto LMT-2 y LMT-3 proporcionan dos árboles de una hoja y uno de tamaño, con 99,28% y 99,37% de exactitud,respectivamente. Los experimentos muestran que la metodología de clasificación jerárquica propuesta da un mejor rendimiento en comparación con otros enfoques prevalecientes.

Improving sentiment analysis via sentence type classification using BiLSTM-CRF and CNN

Different types of sentences express sentiment in very different ways. Traditional sentence-level sentiment classification research focuses on one-technique-fits-all solution or only centers on one special type of sentences. In this paper, we propose a divide-and-conquer approach which first classifies sentences into different types, then performs sentiment analysis separately on sentences from each type. Specifically, we find that sentences tend to be more complex if they contain more sentiment targets. Thus, we propose to first apply a neural network based sequence model to classify opinionated sentences into three types according to the number of targets appeared in a sentence. Each group of sentences is then fed into a one-dimensional convolutional neural network separately for sentiment classification. Our approach has been evaluated on four sentiment classification datasets and compared with a wide range of baselines. Experimental results show that: (1) sentence type classification can improve the performance of sentence-level sentiment analysis; (2) the proposed approach achieves state-of-the-art results on several benchmarking datasets.

Intersubjectivity and sentiment:from language to knowledge

Intersubjectivity is an important concept in psychology and sociology. It refers to sharing conceptualizations through social interactions in a community and using such shared conceptualization as a resource to interpret things that happen in everyday life. In this work, we make use of intersubjectivity as the basis to model shared stance and subjectivity for sentiment analysis. We construct an intersubjectivity network which links review writers, terms they used, as well as the polarities of the terms. Based on this network model, we propose a method to learn writer embeddings which are subsequently incorporated into a convolutional neural network for sentiment analysis. Evaluations on the IMDB, Yelp 2013 and Yelp 2014 datasets show that the proposed approach has achieved the state-of-the-art performance.

Place-based inquiry – the art of being an inhabitant-researcher

In this presentation, I draw on my research encounters with schools and classrooms, together with contemporary movements in social theory and research, to propose a conceptualisation of ‘place-based inquiry’. Three areas of theory are drawn upon: (1) ‘Practice’ ontologies and associated moves towards ‘philosophical-empirical inquiry’ (Green & Hopwood, 2015) provide a warrant for thinking more closely and looking more closely in social research; (2) more-than-representational theory (Anderson & Harrison, 2010) problematizes the notion of the work and impacts of research, raising implications for the ambitions of research undertakings; and, (3) place-based pedagogies (e.g., Gruenewald, 2003) support a sentiment and model for an openly transformational social inquiry. These synergistic areas of theory are used here to frame a practice that recognises the more-than-representational work of research and how this work might be harnessed in more explicit and more deliberate ways to support educational change. I tentatively characterise this practice as that of an inhabitant-researcher, drawing on Orr’s (1992, p. 130) distinction between residing and inhabiting, where inhabiting involves “mutually nurturing relationship with a place”. The inhabitant-researcher attempts to engage research participants in both decolonising and reinhabiting encounters, and to make contributions that are both critical and generative, representational and more-than-representational.