DisclosureBeta: A Measurement-Channel Theory for Regime-Conditioned Betas from LLM-Read Risk Disclosures
“The state of the art collapses to a comparable-firm peer beta with no error budget, and the recent text-based competitor Breitung (2025) reports strong empirical IPO accuracy but no identification theory, no error budget, and no lower bound.”
AssetVolatility and optionsoptions, single stocks
StrategyNews sentimentevent-driven strategies
TechniqueLarge language modellinear 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
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