Recommendations for future study

There are several recommendations for future studies in the area.

The first is to analyse the news articles themselves. In the article the presence of news is inducted from the returns. However, articles can be sorted into important and unimportant, whether they would cause Situation X or Situation Y and if the returns are caused by market-wide or company-specific news. By direct filtering out of only important company-specific news Situation-Y type events will be estimated to be less common (in this study some market-wide news effect could have persisted even after controlling for the market return). Then the ratio of Situation X to Situation Y will be higher and more arbitrage opportunities will be detected.

The second recommendation is to test intraday data for the duration of price adjustments. Two separate durations should be compared: speed of reaction to direct news and speed of reaction to competitor’s news. This paper assumes the second speed to be lower due to the fact that data-mining software is not as sophisticated at this point.

Another recommendation would be a better selection of competitor groups. Only companies that are in oligopolistic markets should be chosen. Also, the competitors have to be identified by the using the most recent information. For example, Qualcomm’s main business is identified as a modem manufacturing (Yahoo Finance QCOM:Summary). However, Qualcomm has been a major supplier of CPUs for smartphones for the last several years, which puts it into competition with NVidia, AMD and Intel. This information has to be accounted for.

References

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Company Name	Company Ticker	Company Name	Company Ticker
ANALOG DEVICES	ADI	LEXMARK INTL.	LXK
ADVANCED MICRO DEVC.	AMD	LINEAR TECH.	LLTC
AGILENT TECHS.	A	NCR	NCR
ALTERA	ALTR	MAXIM INTEGRATED PRDS.	MXIM
APPLE	AAPL	MICRON TECHNOLOGY	MU
APPLIED MATS.	AMAT	MICROSOFT	MSFT
APPLIED MICRO CIRCUITS	AMCC	MOTOROLA SOLUTIONS	MSI
COMVERSE TECH.	512628	PMC-SIERRA	PMCS
BROADCOM 'A'	BRCM	NETAPP	NTAP
CIENA	CIEN	NORTEL NETWORKS (OTC)	NRTLQ
CISCO SYSTEMS	CSCO	NOVELLUS SYSTEMS	777266
CORNING	GLW	SANMINA	SANM
DELL	772203	PERKINELMER	PKI
EMC	EMC	QLOGIC	QLGC
FACEBOOK	FB	QUALCOMM	QCOM
GOOGLE	GOOG	XILINX	XLNX
JABIL CIRCUIT	JBL	TELLABS	TLAB
HEWLETT-PACKARD	HPQ	TERADYNE	TER
INTEL	INTC	TEXAS INSTS.	TXN
INTERNATIONAL BUS.MCHS.	IBM	THERMO FISHER SCIENTIFIC	TMO
JDS UNIPHASE	JDSU	VITESSE SEMICON.	VTSS
KLA TENCOR	KLAC	XEROX	XRX
LSI	LSI	XILINX	XLNX
		YAHOO	YHOO

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