In this white paper, we introduce News Sentiment, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research. The News Sentiment factor seeks to identify market inefficiencies during the lag between reports about an event on newswires and social media and actions taken by investors in response to them.  Our factor helps clients measure this inefficiency by combining two descriptors: an events-driven sentiment score and a composite sentiment score,...

In this white paper, we introduce the Analyst Sentiment factor, one of the Systematic Equity Strategy (SES) factors modeled by MSCI Equity Analytics Research.  The Analyst Sentiment factor seeks to identify market inefficiencies that can occur during the lag between an analyst forecast and the time it takes investors to respond to a change in analyst views.  This paper finds that, over a study period of more than 20 years, the Analyst Sentiment descriptors produced positive drift at...

In this Research Insight, we present a framework for evaluating the relative accuracy of beta forecasts. We consider naive betas, historical betas, and predicted betas. Our technique relies on observing the residual returns of a large universe of stocks over various time periods. We find that the expected residual volatility decreases as the beta estimates become more accurate. We also demonstrate residual volatilities can be translated into beta estimation errors. We find that across the...