Content Category: Sentiment
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State Street MediaStats provides differentiated insight into a company’s media coverage and its potential impact on future price fluctuations. Using local and international news, official company reports, and more than 100,000 other sources, MediaStats develops metrics that are critical for gauging media coverage intensity, sentiment, and disagreement of opinion. The indicators cover over 3,000 U.S. companies and are adjusted to eliminate source and investor bias. All are built specifically for long-term investing rather than high-frequency trading.
Media Linkages captures the size, strength, and significance of dynamic intercompany relationships based on co-mentions in the media. The dataset also provides a daily snapshot of S&P 500 constituents that are included in the same news articles. Weighting each company by relevance, Media Linkages also exposes evolving company relationships faster than traditional industry groups.
Asset Class: Public Companies
Data Frequency: Event-driven
Delivery Frequency: Daily
History: Data available back to 2011
State Street uses tens of thousands of sources to extract information reflective of the media sentiment, intensity of coverage, and disagreement of opinion for over 3,000 U.S. companies. Each news article is classified by type, such as local general news, local business news, and international news. Trained machine-learning algorithms then analyze them to account for potential bias associated with location and size of the publication.
For example, positive bias may exist between Starbucks and a Seattle Times reporter who frequently covers and praises one of the company’s local coffee shops. The bias adjustment accounts for the fact that a positive news article from the Seattle Times should be analyzed differently than a positive article from an international news publication rarely covering Starbucks.
MediaStats includes daily sentiment, intensity, and disagreement indicators over five periods (i.e., 1-day, 7-day, 14-day, 21-day, and 28-day) that are calculated using a rolling exponential moving average. Each indicator is standardized daily for the cross section of firms to produce firm-level Z-scores. Sentiment measures the tone (i.e., positivity or negativity) of the media coverage. Intensity reflects the volume of media coverage compared to expectations. Dispersion measures the disagreement of opinion among sources.
Media Linkages provides daily links between companies mentioned in the same article. This allows users to understand company networks and rely on more than just industry and supply chain information. The Linkages dataset also includes a measure of relevance for each company expressed as percentage weight.
Company-Level Sentiment Analysis
Relationship Analysis
The details provided above are as of March 2020.
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