We use quantitative media (blogs, and news as a comparison) data generated by a large-scale natural language processing (NLP) text analysis system to perform a comprehensive and comparative study on how company related news variables anticipates or reflects the company's stock trading volumes and financial returns. Building on our findings, we give a sentiment-based market-neutral trading strategy which gives consistently favorable returns with low volatility over a long period. Our results are

more »

... significant in confirming the performance of general blog and news sentiment analysis methods over broad domains and sources. Moreover, several remarkable differences between news and blogs are also identified.