A News-based Machine Learning Model for Adaptive Asset Pricing
“The new model is shown to have a significantly better fitting and prediction power than the Fama-French 5-factor model.”
AssetEquities
StrategyNews sentiment
TechniqueLinear factor model
GeographyEurope
Also stated: Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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