Professor Jiang Fuwei and his research team published "Media Text Sentiment and Stock Return Forecasting" in the 4th issue of "Economics (Quarterly)" in 2021, and introduced a highly creative financial research result in the article ——Chinese Financial Sentiment Dictionary.
“ This article builds a newer and more comprehensive Chinese financial sentiment dictionary based on the Loughran and MacDonald (2011) dictionary through manual screening and word2vec algorithm expansion. We use this sentiment dictionary to calculate the sentiment of Chinese financial media texts Indicator, found that media text sentiment can more accurately measure changes in investor sentiment in my country's stock market and has significant in-sample and out-of-sample prediction capabilities for my country's stock returns. Media text sentiment also has significant predictive capabilities for some important macroeconomic indicators. , has important academic and practical application value."
——"Media Text Sentiment and Stock Return Prediction"
According to the wishes of the data creator and on the premise of respecting intellectual property rights, readers can use this dictionary for free. Please cite the following documents:
- Fuwei Jiang, Joshua Lee, Xiumin Martin, and Guofu Zhou. "Manager Sentiment and Stock Returns" Journal of Financial Economics 132(1), 2019,126-149.
- Jiang Fuwei, Meng Lingchao, Tang Guohao. Media text sentiment and stock return prediction. Economics (Quarterly), Issue 4, 2021, pp. 1323-1344.
With authorization, CnOpenData has established a display area and data index for this data to facilitate scholars' browsing.
To download the data, please go to Chinese Financial Sentiment Dictionary (github.com, need to bypass the wall), or at the end of this page Download. For more information about this data please see 《Media text Sentiment and Stock Return Forecasting.
Data creation method
Sample data
| Negative words | Positive words |
|---|---|
| Plump | Rising |
| Corruption | Stability |
| Shrink | Breaking Progress |
| Damage | First mover advantage |
| Occupy | Excellence |
| Corruption | It works |
| Poor performance | Main force |
| Rejected | The mainstay |
| Unstable | Promotion |
| Unfair | Exclusive operation |
| Uneconomical | Overfulfilled |
| Downturn | Smooth sailing |
| Failure to perform obligations | Organized |
| Not as expected | Love and dedication |
| Layoffs | Great opportunity |
| Slow work | High returns |
| Dereliction of duty | Absolute advantage |
| High risk | Glorious results |
| Dysfunctional | Organized |
| Overhead | Discount |
References
- Fuwei Jiang, Joshua Lee, Xiumin Martin, and Guofu Zhou. "Manager Sentiment and Stock Returns" Journal of Financial Economics 132(1), 2019,126-149.
- Jiang Fuwei, Meng Lingchao, and Tang Guohao: "Media Text Sentiment and Stock Return Forecasting", "Economics (Quarterly)", Issue 04, 2021.
Data update frequency
Updated from time to time