Dynamic Asset Pricing: Integrating FinBERT-Based Sentiment Quantification with the Fama--French Five-Factor Model
Zhang (2025) studies news sentiment and text signals in equities using a large language model over 2020–2022. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Rolling regressions reveal the time-varying nature of sentiment sensitivity, and an event study around the June 15, 2022 Federal Reserve 75 basis point rate hike shows that a sentiment-augmented five-factor model better explains abnormal returns relative to the baseline model.”
AssetEquities
StrategyNews sentimentfactor investing
TechniqueLarge language modelfeedforward network
GeographyEurope
Also stated: Intraday, 2020–2022, Alpha, 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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