Structured Event Representation and Stock Return Predictability
“Using a pre-trained LLM to extract event features from news articles, we propose a novel deep learning model based on structured event representation (SER) and attention mechanisms to predict stock returns in the cross-section.”
AssetEquitiessingle stocks
StrategyMachine learningnews sentiment
TechniqueLarge language modelfeedforward network
InputsText and news
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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