Can central bankers’ talk predict bank stock returns? A machine learning approach
“Importantly, portfolios constructed using the predictions of our best performing ML model consistently outperform their benchmarks.”
AssetEquities
StrategyNews sentimentmachine learning
TechniqueLinear factor model
ClaimExcess return
Also stated: Text and news, out-of-sample test
Missing from abstract: benchmark, 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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