Sentiment analysis of German texts in finance: Improving and testing the BPW dictionary
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Pöferlein, Matthias Article Sentiment analysis of German texts in finance: Improving and testing the BPW dictionary Journal of Banking and Financial Economics (JBFE) Provided in Cooperation with: Faculty of Management, University of Warsaw Suggested Citation: Pöferlein, Matthias (2021) : Sentiment analysis of German texts in finance: Improving and testing the BPW dictionary, Journal of Banking and Financial Economics (JBFE), ISSN 2353-6845, University of Warsaw, Faculty of Management, Warsaw, Iss. 16, pp. 5-24, https://doi.org/10.7172/2353-6845.jbfe.2021.2.1 This Version is available at: https://hdl.handle.net/10419/313447 Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence. https://creativecommons.org/licenses/by/4.0/
DOI: 10.7172/2353-6845.jbfe.2021.2.1 5 5 © 2021 Authors. This is an open access article distributed under the Creative Commons BY 4.0 license (https://creativecommons.org/licenses/by/4.0/) Journal of Banking and Financial Economics 2(16)2021, 5–24 Sentiment Analysis of German Texts in Finance: Improving and Testing the BPW Dictionary Ĵȱã1 University of Bayreuth, Germany ĴǯȓȬ¢ǯ ĴDZȦȦǯȦŖŖŖŖȬŖŖŖŘȬŞşŜŝȬŜŖŞŝ ABSTRACT 8VLQJWKHGLFWLRQDU\EDVHGDSSURDFKWRPHDVXUHWKHVHQWLPHQWRI¿QDQFHUHODWHGWH[WVLVSULPDULO\ IRFXVHGRQ(QJOLVKVSHDNLQJFRQWHQW7KLVLVGXHWRWKHQHHGIRUGRPDLQVSHFL¿FGLFWLRQDULHV DQGWKHSULPDU\DYDLODELOLW\RIWKRVHLQ(QJOLVK7KURXJKWKHFRQWULEXWLRQRI%DQQLHUHWDO EWKH¿UVW¿QDQFHUHODWHGGLFWLRQDU\LVDYDLODEOHIRUWKH*HUPDQODQJXDJH%HFDXVHRI WKHQRYHOW\RIWKLVGLFWLRQDU\WKLVSDSHUSURSRVHVVHYHUDOUHIRUPVDQGH[WHQVLRQVRIWKHRULJLQDO ZRUGOLVWV$GGLWLRQDOO\,WHVWHGPXOWLSOHPHDVXUHPHQWVRIVHQWLPHQW,VKRZWKDWXVLQJWKHHGLWHG DQGH[WHQGHGGLFWLRQDU\WRFDOFXODWHDUHODWLYHPHDVXUHPHQWRIVHQWLPHQWFHQWUDODVVXPSWLRQV UHJDUGLQJWH[WXDODQDO\VLVFDQEHIXO¿OOHGDQGPRUHVLJQL¿FDQWUHODWLRQVEHWZHHQWKHVHQWLPHQWRI DVSHHFKE\D&(2DWWKH$QQXDO*HQHUDO0HHWLQJDQGVXEVHTXHQWDEQRUPDOVWRFNUHWXUQVFDQEH FDOFXODWHG -(/&ODVVL¿FDWLRQ** KeywordsWH[WXDODQDO\VLVWH[WXDOVHQWLPHQWVHQWLPHQWDQDO\VLVFRQWHQWDQDO\VLVDQQXDOJHQHUDO PHHWLQJ&(2VSHHFKHV 1. INTRODUCTION ,QUHFHQW\HDUVWH[WXDODQDO\VLVKDVEHFRPHDQLPSRUWDQWSDUWRIDFFRXQWLQJDQG¿QDQFH UHVHDUFK7KLVLVGXHWRWKHIDFWWKDWWKHDYDLODELOLW\DQGTXDQWLW\RIGLJLWDOO\DYDLODEOHWH[WV DUHFRQVWDQWO\LQFUHDVLQJ$GGLWLRQDOO\WKHLQIRUPDWLRQHQFRGHGLQWKRVHWH[WVLQWKHIRUPRI VHQWLPHQWFDQEHREWDLQHGLQDQHDVLHUDQGPRUHWDUJHWHGZD\WKURXJKUHFHQWGHYHORSPHQWVLQWKH ¿HOGRIWH[WXDODQDO\VLV%DQQLHUHWDOESSI*HQW]NRZHWDOS/RXJKUDQ 0F'RQDOGS $OJDEDHWDOSGH¿QHVHQWLPHQW³>«@DVWKHGLVSRVLWLRQRIDQHQWLW\WRZDUGDQ HQWLW\H[SUHVVHGYLDDFHUWDLQPHGLXP>«@7KLVGLVSRVLWLRQFDQEHFRQYH\HGQXPHULFDOO\EXWLV SULPDULO\H[SUHVVHGTXDOLWDWLYHO\WKURXJKWH[WDXGLRDQGYLVXDOPHGLD´7KHWZRPRVWFRPPRQ PHWKRGVIRUWUDQVIRUPLQJTXDOLWDWLYHVHQWLPHQWGDWDLQWRTXDQWLWDWLYHVHQWLPHQWYDULDEOHVDUHWKH GLFWLRQDU\EDVHGDSSURDFKDOVRUHIHUUHGWRDVEDJRIZRUGVDQGPDFKLQHOHDUQLQJ.HDUQH\ 0DWWKLDV3|IHUOHLQ±8QLYHUVLW\RI%D\UHXWK*HUPDQ\PDWWKLDVSRHIHUOHLQ#XQLED\UHXWKGH8QLYHUVLW\RI%D\UHXWK&KDLURI)LQDQFHDQG %DQNLQJ8QLYHUVLWlWVVWU%D\UHXWK*HUPDQ\7HO)D[ DZȱŚȱȱŘŖŘŗȱȦȱDZȱŗřȱȱŘŖŘŗȱȦȱDZȱŗśȱȱŘŖŘŗȱȦȱȱDZȱŘŖȱȱŘŖŘŗ
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Ĵȱã Journal of Banking and Financial Economics 2(16)2021, 5–24 DOI: 10.7172/2353-6845.jbfe.2021.2.1 19 19 © 2021 Authors. This is an open access article distributed under the Creative Commons BY 4.0 license (https://creativecommons.org/licenses/by/4.0/) 7KHUHVXOWVVKRZDKLJKVWDWLVWLFDOVLJQL¿FDQFHRIWKHFRH൶FLHQWRIWKHVHQWLPHQWPHDVXUHPHQW NToneWKDW,FDOFXODWHGXVLQJWKH%3:B1DQGWKH¿YHGL൵HUHQW&$5VDVGHSHQGHQWYDULDEOHV 7KXVPRUHSRVLWLYHVSHHFKHVRI&(2VFDQEHDVVRFLDWHGZLWKKLJKHUDEQRUPDOUHWXUQV$Q LQFUHDVHLQNToneE\WKHLQWHUTXDUWLOHFKDQJHRIOHDGVWRDPLQRULQFUHDVHRILQ &$5>@EXWDPDMRULQFUHDVHRILQ&$5>@7KLVUROHDVDNH\IDFWRULQWKHPDUNHW UHDFWLRQWR$*0VEHFRPHVPRUHLQWHUHVWLQJZKHQRWKHUYDULDEOHVEDVHGRQWKHSHUIRUPDQFHRU WKHGLYLGHQGSROLF\DUHFRQVLGHUHG7KH52$QHJDWLYHO\UHODWHVWRDOO¿YHHYHQWZLQGRZVDQGLV RQO\VLJQL¿FDQWIRUWKH¿UVWWKUHHZLQGRZV7KHGLYLGHQGVXUSULVHFDQRQO\SDUWLDOO\DFFRXQWIRU WKHVLJQL¿FDQFHRIWKHORQJHUHYHQWZLQGRZV,FRXOGYHULI\RQO\DVLJQL¿FDQWDVVRFLDWLRQZLWK LQGLYLGXDOHYHQWZLQGRZVIRUWKHDQDO\]HGFRQWUROYDULDEOHV1RQHRIWKHYDULDEOHVDUHDEOHWR H[SODLQDOOZLQGRZV 5HJDUGLQJWKHVLJQL¿FDQWUHODWLRQRINToneDVDUHODWLYHPHDVXUHPHQWRIVHQWLPHQWDQGVKRUW DQGORQJWHUPHYHQWZLQGRZVWKHUHVXOWVDUHFRQVLVWHQWZLWK3ULFHHWDOSSIDQG %DQQLHUHWDOSDS 'HVSLWHWKHLQVX൶FLHQWIXO¿OOPHQWRIWKHDVVXPSWLRQWKDWVSHHFKHVZLWKDPRUHSRVLWLYH PHDVXUHPHQWRIVHQWLPHQWOHDGWRKLJKHUDEQRUPDOUHWXUQVIRUNToneXVLQJWKH%3:B27DEOH VKRZVWKDWWKHSRVLWLYHUHODWLRQEHWZHHQWKLVPHDVXUHPHQWDQGWKHGL൵HUHQW&$5VLVDOPRVWDV VLJQL¿FDQWDVWKHXVDJHRI%3:B12QO\IRUWKHHYHQWZLQGRZV&$5>@DQG&$5>@WKH FRH൶FLHQWLVVLJQL¿FDQWDWDOHYHO'XHWRWKHVPDOOHULQWHUTXDUWLOHFKDQJHRIDFKDQJH LQNToneE\WKLVFKDQJHOHDGVWRDKLJKHU&$5>@DQGDKLJKHU&$5>@ ,QWHUHVWLQJO\WKHVHUHVXOWVVKRZKLJKHUVLJQL¿FDQFHWKDQ%DQQLHUHWDODSZKHUH PD[LPXPVLJQL¿FDQFHDWWKHOHYHOZDVDFKLHYHG&$5>@ Table 10 5HJUHVVLRQRI17RQHB%3:B2DQG&$5V Dependent variable: CAR01 CAR03 CAR05 CAR015 CAR030 17RQHB%3:B2 ** *** ** *** *** /1B&2817B%3:B2 ** * ,1'B%3:B2 ** /1B6,=( 0% /(9 92/$ ** ** /1B92/ * 52$ ** *** *** (36B63
Ĵȱã Journal of Banking and Financial Economics 2(16)2021, 5–24 DOI: 10.7172/2353-6845.jbfe.2021.2.1 20 20 © 2021 Authors. This is an open access article distributed under the Creative Commons BY 4.0 license (https://creativecommons.org/licenses/by/4.0/) Dependent variable: CAR01 CAR03 CAR05 CAR015 CAR030 ',9B633 ** *** ',9B631 ** &RQVWDQW ** 2EVHUYDWLRQV <HDU)L[HG(൵HFWV <(6 <(6 <(6 <(6 <(6 5 $GMXVWHG5 5HVLGXDO6WG(UURUGI )6WDWLVWLFGI ** *** *** *** 6LJQL¿FDQFHOHYHOVDUHEDVHGRQUREXVWVWDQGDUGHUURUVJLYHQLQSDUHQWKHVHVDQGDUHLQGLFDWHGE\*S**S***S 6RXUFH$XWKRU¶VFDOFXODWLRQ %DVHGRQWKHDOUHDG\VWDWHGUHVXOWVIRUWKHQHFHVVDU\DVVXPSWLRQVRIWKHFXPXODWLYHDEQRUPDO WUDGLQJYROXPHVXQGHU,ZLOOQRWGLVFXVVWKRVHUHJUHVVLRQVIXUWKHU 6. CONCLUSION 7KLVSDSHUIRFXVHVRQWH[WXDODQDO\VLVDVDQLPSRUWDQWSDUWRIDFFRXQWLQJDQG¿QDQFHUHVHDUFK XVLQJWKHGLFWLRQDU\EDVHGDSSURDFKZLWKWKH¿UVWDYDLODEOH¿QDQFHUHODWHGGLFWLRQDU\IRUWKH *HUPDQODQJXDJH%3:B2'XHWRWKHQRYHOW\RIWKLVGLFWLRQDU\WKHDLPRIWKLVSDSHULVWR SURSRVHVHYHUDOUHIRUPVDQGH[WHQVLRQV%3:B1WRLPSURYHLWVSHUIRUPDQFHDQGWR¿QGWKH PRVWDSSURSULDWHPHDVXUHPHQWRIVHQWLPHQW %DVHGRQWKHYLVXDOH[DPLQDWLRQRIWKHWZRFHQWUDODVVXPSWLRQVWKDWVSHHFKHVZLWKDPRUH SRVLWLYHPHDVXUHPHQWRIVHQWLPHQWOHDGWRKLJKHUDEQRUPDOUHWXUQVDQGWKDWLWLVSRVVLEOHWR VHSDUDWHDERYHDQGEHORZDYHUDJHDEQRUPDOUHWXUQVWKURXJKWKHXVHRIVHQWLPHQWPHDVXUHVWKH XVHRIWKHPHDVXUHPHQWNToneFDOFXODWHGXVLQJWKH%3:B1VKRXOGEHSUHIHUUHG$GGLWLRQDOO\ ,ZDVDEOHWRVXSSOHPHQWWKHVLJQL¿FDQFHRIWKHVHUHVXOWVE\VHYHUDOUHJUHVVLRQV+HUHWKHXVHRI NToneFDOFXODWHGE\XVLQJWKH%3:B1FRXOGSURYLGHKLJKO\VWDWLVWLFDOO\VLJQL¿FDQWUHVXOWVIRU DOO¿YHDQDO\]HGHYHQWZLQGRZV7KXVPRUHSRVLWLYHVSHHFKHVRI&(2VFDQEHDVVRFLDWHGZLWK KLJKHUDEQRUPDOUHWXUQVIROORZLQJWKH$QQXDO*HQHUDO0HHWLQJ%DVHGRQWKHHYHQWZLQGRZ DQLQFUHDVHLQNToneE\WKHLQWHUTXDUWLOHFKDQJHRIOHDGVWRDQLQFUHDVHLQFXPXODWLYH DEQRUPDOUHWXUQVUDQJLQJIURP&$5>@WR&$5>@ 8VLQJWKHPRVWFRPSUHKHQVLYHFROOHFWLRQRI*HUPDQ&(2VSHHFKHVVRIDUWKLVSDSHULVDEOHWR JLYHWZRFRQWULEXWLRQVWRWKHOLWHUDWXUHRQWH[WXDODQDO\VLVRI*HUPDQWH[WV7KURXJKLPSOHPHQWLQJ UHIRUPVDQGH[WHQVLRQV,LPSURYHGWKHUHVXOWVRIWKHRULJLQDO%3:B2DQGFRQ¿UPHGWKHVWDWHG K\SRWKHVLV$GGLWLRQDOO\WKHFRPELQDWLRQRIWKH%3:B1DQGWKHUHODWLYHPHDVXUHPHQWRI VHQWLPHQWNToneKDVSURYHQWREHWKHPRVWVXLWDEOHRQHIRUPHDVXULQJEXVLQHVVWH[WVDQGWKHUHIRUH DQVZHUVWKHDGGLWLRQDOUHVHDUFKTXHVWLRQ Table 10 (cont.)
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