Webinar

Session 4: Replicate ‘news-Related Characteristics and Medium-Term Stock Returns’ Whitepaper and Backtest This Strategy

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Discussion topics:
- Replicate whitepaper and backtest this strategy using BQFactor leveraging new sentiment data
- We will use two company-specific news-related data items in our studies: “Daily News Publication Heat,” which is a score measuring the volume of news flow and “Daily News Sentiment Score,” which is a measure of the average sentiment of news flow about the company
- The focus will be on returns over medium-term horizons of several months and on a broad universe of US stocks of all sizes
- We will check the hypothesis that periods of increasing relative news flow should be associated with periods of relatively higher stock returns

Speakers

Vadim Nagaev

BQuant Product Specialist

Bloomberg L.P.

Vadim Nagaev has been a BQuant Product Specialist at Bloomberg for the last two years. He has nine years experience as a Quant Researcher and Quant Developer at two hedge funds, and three years at Goldman Sachs in Risk Management Quant. Vadim holds a MS and BS in Applied Math and Computer Science, and a MS in Financial Engineering. He has also received CFA and FRM designations.

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