A Replication Study of Zhang (2025): Why News Sentiment Fails to Predict Asset Returns
“We find zero predictive power in any market: mean accuracy 51.2% (95% CI: 49.5-52.9%), mean AUC 0.500 (95% CI: 0.485-0.515).”
AssetCommoditiescurrency pairs
StrategyNews sentiment
TechniqueLarge language model
FrequencyDaily
Also stated: 2015–2023, Sharpe ratio, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
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The paper's neighbourhoodNews sentiment and text signals by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.