Patent Connections, Business News and Predictable Returns
“Enhancing them by weighting patent peers based on their relevance to current technological news generates a significant, robust alpha unexplained by standard factor models or firm characteristics.”
StrategyMachine learningmomentum
TechniqueLarge language modellinear factor model
ClaimAlpha
InputsText and newsalternative data
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
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The paper's neighbourhoodMachine learning return prediction by year
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