Does sentiment help in asset pricing? A novel approach using large language models and market-based labels
“Further, we find that a long/short equal-weighted portfolio yields an average annualized return of 35.56% and an annualized Sharpe ratio of 2.21.”
AssetEquities
StrategyNews sentiment
TechniqueLarge language model
GeographyUS
Also stated: Sharpe ratio, Profit, Long-short, Fundamentals, Text and news, benchmark, costs
Missing from abstract: out-of-sample test, 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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