ChatGPT as a Time Capsule: The Limits of Price Discovery
“We treat twelve OpenAI snapshots spanning 2021-2025 as time-stamped summaries of the public textual record and extract a sector-neutral LLM outlook score for roughly 7,000 U.S. equities per cross-section.”
AssetEquitiessingle stocks
StrategyNews sentiment
TechniqueLarge language modellinear factor model
GeographyUS
Also stated: 2021–2025, Fundamentals, 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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