Défense de thèse

Défense de thèse de Nicolas Moreno


June 8, 2022
Classroom N1d 0/86, N1 Building
Rue Louvrex 14
4000 Liège
14:00 - 17:00

On June 08, 2022, Nicolas Moreno will publicly defend his thesis entitled:

"Sentiment Analytics and Financial Markets"

To register for the drink after the defense please register via: https://hec-liege.idloom.events/doctoral-defense-nicolas-moreno

Classroom number: N1d 0/86

Jury members 

  • Marie Lambert (Supervisor), HEC Liège, Management School of the University of Liège
  • Wouter Torsin (President), HEC Liège, Management School of the University of Liège
  • Gabriela Contreras, Radboud University
  • Theodoros Evgeniou, INSEAD
  • Ashwin Ittoo, HEC Liège, Management School of the University of Liège
  • Thomas Renault, University Paris 1 Panthéon-Sorbonne


From major news outlets to social media and the general public, it is common to find mentions of the existence of relationships between narratives and economic outcomes. By definition, those narratives are forms of soft information, which until recently have been difficult to quantify and are often propagated through natural language and text in particular. With the advent of the digital age and the exponential increase of information available online in the past years, researchers can now leverage this soft information and bring much-needed academic rigor to understand the role narratives play in shaping specific economic outcomes.

This thesis seeks to leverage a key dimension of those narratives: Sentiment. In the context of this thesis, sentiment is defined as the disposition of an entity toward another entity, expressed via a specific medium. In the first three chapters of this thesis, the medium of interest is “News,” specifically news stories published in the financial press. The first paper uses firm-specific news sentiment to understand why market anomalies earn a premium on earnings announcement days, a finding which could previously not be reconciled with classical risk-based pricing frameworks. News sentiment shows that this premium for value firms is concentrated on bad news events, which permits us to propose new avenues to understand this market anomaly.

The second and third chapters investigate how news can help understand drivers of market anomalies. Market anomalies have played a central role in asset pricing research over the past decades, and numerous competing theories seek to accommodate empirical observations that deviate from the classical model. Chapter two proposes a framework based on cash-flow and discount rate news, allowing us to capture the driving forces behind anomaly returns and disentangle competing explanations for anomalies. Notably, we find that cash-flow news plays a fundamental role. It turns out that changes in expectations along anomaly characteristics comove as a function of aggregate cash-flow news. The third chapter investigates drivers of anomaly returns and characterizes news of momentum and value stocks, in particular, highlighting the strong negative correlation between the two. It is also the first to link cash-flow news, discount rate news, and news sentiment.

The economic outcome of interest in the fourth chapter is to understand how changes in company ownership, especially following leveraged buy-outs, affect employee welfare. To achieve this task, we gather millions of online reviews of employees about their employers and investigate the underlying text data to characterize the impact private equity firms have on those narratives. Overall, employees’ satisfaction drops sharper following leverage buy-outs than in other types of ownership changes. We can trace the problems back to employees who are lower in the corporate hierarchy: complaints about lack of care from management and fear of layoffs and cost-cutting drive the decline of employee sentiment.

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