Reading the Late-Filing Notification: Form NT Body Narratives Predict Subsequent SEC Restatement Disclosures
“The fair quantitative benchmark for a long-short strategy of this kind is the Fama-French five-factor plus momentum maximum-Sharpe tangent portfolio at its natural unleveraged scale (sum of absolute weights equal to one), whose annualized volatility is 4.7%.”
AssetEquities
StrategyNews sentimentmomentum
TechniqueLarge language modellinear factor model
GeographyUSEurope
Also stated: Daily, 2014–2024, Sharpe ratio, Alpha, Excess return, 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
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