Statistical Properties of News Sentiment Inhibit Return Predictability
A 2023 paper by Ryabinin on 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.
“I revisit whether daily news-based sentiment predicts stock market returns better during recessions than expansions, a conclusion originally established by comparing the magnitudes of regression coefficients.”
AssetEquities
StrategyNews sentimentmachine learning
FrequencyDaily
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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