NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks
“Empirical evaluations on U.S. equity data (1980-2022) demonstrate NewsNet-SDF substantially outperforms alternatives with a Sharpe ratio of 2.80.”
AssetEquities
StrategyNews sentimentmacro signals
TechniqueLarge language modelrecurrent neural network
GeographyUSEurope
Also stated: 1980–2022, Sharpe ratio, Excess return, Macro, 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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