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News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend score which measure extreme positive and negative sentiment levels for individual stocks. The intuition behind this approach is that the impact of events that generate extreme investor sentiment changesdoi:10.1109/ssci.2015.132 dblp:conf/ssci/SongLYDD15 fatcat:zjaixfwcxbetlim7so2aqfav3e