Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
“Using post-knowledge-cutoff headlines, GPT-4 captures initial market responses, achieving approximately 90% portfolio-day hit rates for the non-tradable initial reaction.”
AssetEquities
StrategyNews sentimentmachine learning
TechniqueLarge language model
FrequencyDaily
Also stated: Excess return, 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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