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korean management review - Vol. 53 , No. 1
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[ Article ]
korean management review - Vol. 50, No. 2, pp. 533-555
Abbreviation: kmr
ISSN: 1226-1874 (Print)
Print publication date 30 Apr 2021
Received 10 Dec 2020 Revised 03 Feb 2021 Accepted 08 Feb 2021
DOI: https://doi.org/10.17287/kmr.2021.50.2.533

News and Social Media Text and Investor Expectation
Juhwa Lee ; Doojin Ryu
(First Author) Sungkyunkwan University (ljh3105@skku.edu)
(Corresponding Author) Sungkyunkwan University (sharpjin@skku.edu)

뉴스/소셜 미디어 텍스트와 투자자 기대

Copyright 2011 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract

This paper analyzes whether the investor expectation implied by the text in news articles or social media forums affects stock returns in the Korean market. Our model, trained on 640,457 input articles and forum posts, classifies each post as positive or negative, employing word embedding based on the Word2Vec and bi-directional long short-term memory network to construct the investor expectation indices. We find that the expectation index constructed from news articles and the index from social media forums can explain stock return movements. Interestingly, the investor expectation extracted from social media forums outperforms the expectation from news articles.

Keywords: Interdisciplinarity, Investor Expectation, Machine Learning, News Media Text, Social Media Text, Stock Market
Acknowledgments

This paper is an extended version of Lee’s dissertation. The authors are grateful for the helpful comments and suggestions from Keun-Yeong Lee, Young-Han Kim, Shu-Chin Lin, Jinyoung Yu, Karam Kim, and Sohee Shin.

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∙The author Juhwa Lee graduated from the School of Business Administration, College of Business & Economics, Chung-Ang University. He has got a Master’s degree in Economics at Sungkyunkwan University. His current research interests are machine learning, big data analysis, financial management, and behavioral finance.

∙The author Doojin Ryu is a full/tenured professor of economics at Sungkyunkwan University. He graduated from Seoul National University (School of Electrical Engineering), and has got a Ph.D. degree at KAIST. He was a research fellow at the National Pension Service, an assistant professor at Hankuk University of Foreign Studies, and a full/tenured professor at Chung-Ang University. Prof. Ryu is currently an editor of Investment Analysts Journal (SSCI) and a subject editor of Emerging Markets Review (SSCI), Journal of Multinational Financial Management (SSCI), and Emerging Markets Finance & Trade (SSCI). He is an editorial board member of Journal of Futures Markets (SSCI) and Asian Business & Management (SSCI).

 
Mail : editor_kmr@daum.net
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