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So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to research this further I want to investigate correlation with other external (or internal) events such as released company news, quickly spreading rumors, or even insider trading and other "public" factors that usually have great price impact.

On my wish-list is a site or database where I can input a symbol and date and it spits out news, press releases and other relevant "events" around that time. Does anyone know of such service or has used such in the past? I have tried the most obvious; Google and Yahoo Finance but they seem to not have that many events at all, especially going back a few years...

Thanks in advance!

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  • $\begingroup$ This question appears to be off-topic because it is about finding sources of data $\endgroup$ – chollida Nov 13 '14 at 20:42
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    $\begingroup$ I disagree, it's totally relevant, that's the type of question that most traders are interested in. It's the basis of many calculations. $\endgroup$ – Julien L Dec 8 '14 at 3:18
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I believe historical Reuters data can be downloaded online. Search for Reuters Key Developments Corpus.

The author of this paper (http://people.csail.mit.edu/azar/wp-content/uploads/2011/09/thesis.pdf) used data like this.

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You need Reuters RFA or SFC API access, they both give access to historical data, that you are able to lookup with a ticker symbol.

See: https://customers.reuters.com/developer/apis_tech.aspx

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Reuters has historical financial news that goes back pretty far. I was doing some similar stuff with historical news and you can go back before 1950's, for certain companies. You can scrape from them using a scraper built by yourself (very easy to implement in python) or using a service like Kimono, which you can set to run every so often. Kimono also lets you form an API with the scraped data, which is nice. Reuters is by far the best source that I have come across.

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The best way to do it is to use a standard academic database for news such as Factiva. There are several studies that use it. Probably one of the best studies for you to look at is:

In particular take a look at the appendix of their paper where they describe their methodology to match news to firms (in your words "symbol and date and spits out relevant events"). This is not as straightforward as you would ideally want, but it is very reliable and academically sound. Here is an extract of the appendix:

To match firms' names in CRSP with their common names used in the media, we employ a combination of four methods. Our first method works well for firms that are currently members of the S&P 500 index. We download common names for these firms from the “S&P constituents” spreadsheet posted on Standard and Poor's Web site, http://www.standardpoor.com/. We match these common names to CRSP name strings, which we use in our Factiva news queries for the 473 firms in the S&P at the end of our data period (December 31, 2004) that remained in the index on the date that we downloaded the spreadsheet. We identify the common names of the other 27 S&P 500 firms at the end of 2004 using the methods described below.

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You can get historical news articles from onlinenewsarchive.com

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    $\begingroup$ Does it allow searching by symbols? $\endgroup$ – Bob Jansen Mar 15 '18 at 8:23

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