Quality of Private Signals and Expectations About Returns
News sentiment and text signals in equities, studied by Gholampour in 2016. The abstract mentions a Sharpe ratio and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The main advantage of the proposed index over existing measures of sentiment is the possibility of using the number of followers as a proxy for the quality of private signals.”
AssetEquitiesindices
StrategyNews sentiment
GeographyUS
FrequencyIntraday
Also stated: Sharpe ratio, Long-short, Text and news, benchmark
Missing from abstract: 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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