Greenwashing Detection Through ESG Rating Divergence and NLP Sentiment Analysis: Does Rating Divergence Predict Stock Underperformance?
A 2026 paper by Syed on news sentiment and text signals in equities, using a large language model on a 2015–2023 sample: the abstract mentions excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“A long-short portfolio sorted on divergence quintiles accumulates approximately 8.7 percentage points of excess return over the nine-year window.”
AssetEquities
StrategyNews sentiment
TechniqueLarge language modellinear factor model
GeographyGlobal
Also stated: Annual, 2015–2023, Excess return, Long-short, Macro, Text and news, Alternative data
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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