Abstract
The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software.
| Original language | English |
|---|---|
| Pages (from-to) | 512-547 |
| Number of pages | 36 |
| Journal | Journal of Economic Surveys |
| Volume | 34 |
| Issue number | 3 |
| Early online date | 21 May 2020 |
| DOIs | |
| Publication status | Published - 1 Jul 2020 |
Funding
We thank the Associate Editors (Les Oxley and Stelios Bekiros) and two anonymous Referees, seminar participants at Ca' Foscari University of Venice, the European Commission JRC Ispra ?Big Data and Forecasting Workshop? (Ispra, 2019), Ghent University, HEC Montral, the International Conference on Computational and Financial Econometrics (London, 2019), Skema Business School, University of Delaware, and Vrije Universiteit Brussel for their useful comments. We are also grateful to Francesco Audrino, Leopoldo Catania, Maxime De Bruyn, William Doehler, Nitish Sinha, and Leif Anders Thorsrud for stimulating discussions and feedback. This project benefited from financial support from Innoviris (https://innoviris.brussels), IVADO (https://ivado.ca), swissuniversities (https://www.swissuniversities.ch), and the Swiss National Science Foundation (http://www.snf.ch, grants #179281 and #191730).
Keywords
- Qualitative data
- Sentiment analysis
- Sentometrics
- Survey
- Textual analysis