News-Based Links and Cross-firm Return Predictability
Tao, Yim and Han (2020) study news sentiment and text signals in equities. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that investors are sluggish in impounding the information learnable from the NBLs, leading to positive cross-firm return predictability.”
AssetEquitiesindices
StrategyNews sentimentmachine learning
InputsText 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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