Generating Alpha using NLP Insights and Machine Learning
News sentiment and text signals, studied by Najera and Kantos in 2022 with a large language model. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The paper provides evidence that NLP models applied to earnings calls transcripts can generate alpha not explained by traditional risk and return factors.”
StrategyNews sentiment
TechniqueLarge language model
ClaimAlpha
InputsFundamentalstext 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
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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