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News volume information: Beyond earnings forecasting in a global stock selection model

Author

Listed:
  • Gillam, Robert A.
  • Guerard, John B.
  • Cahan, Rochester

Abstract

Earnings forecasting models produce highly statistically significant asset selection, active equity, and total active returns. We propose a measure of abnormal news volume that controls for the size of the firm and the analyst attention that it receives, and demonstrate that news volume information can enhance returns relative to using only an earnings forecasting model. Furthermore, we show that this measure enhances the predictive power of a global stock selection model using information coefficients, Boolean signals, and efficient frontiers.

Suggested Citation

  • Gillam, Robert A. & Guerard, John B. & Cahan, Rochester, 2015. "News volume information: Beyond earnings forecasting in a global stock selection model," International Journal of Forecasting, Elsevier, vol. 31(2), pages 575-581.
    • Handle: RePEc:eee:intfor:v:31:y:2015:i:2:p:575-581
    DOI: 10.1016/j.ijforecast.2014.12.007
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    References listed on IDEAS

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    Cited by:

    1. Feng Zhang & Ruite Guo & Honggao Cao, 2020. "Information Coefficient as a Performance Measure of Stock Selection Models," Papers 2010.08601, arXiv.org.

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