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Analysis of Stock Price Return Using Textual Data and Numerical Data Through Text Mining

  • Satoru Takahashi
  • Masakazu Takahashi
  • Hiroshi Takahashi
  • Kazuhiko Tsuda
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4252)

Abstract

In finance task domain, it is indispensable to get and analyze information as quickly as possible. Analyst’s reports are one of the important information in asset management, and these include a large amount of text information. However, it is very difficult to handle text information of analyst’s reports, few research and development have been conducted. In [5] and [6] we explored the feasibility to extract valuable knowledge for asset management through text mining using analyst’s reports as text data. And we found the effectiveness of keyword information. In this paper we make further research of analyst’s reports. From empirical study on the practical data, we have confirmed the effectiveness of using keyword information and numerical information together: (1) the effectiveness of keyword information is different by the direction of change of earning estimate; (2) the keyword of “Upward (or Downward) surprise in forecast” has strong effect to stock price return.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Satoru Takahashi
    • 1
    • 2
  • Masakazu Takahashi
    • 3
  • Hiroshi Takahashi
    • 4
  • Kazuhiko Tsuda
    • 2
  1. 1.Mitsui Asset Trust and Banking Co., Ltd.TokyoJapan
  2. 2.Graduate School of Systems ManagementThe University of TsukubaTokyoJapan
  3. 3.Shimane UniversityMatsue-shiJapan
  4. 4.Okayama UniversityOkayamaJapan

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