Textual Sentiment, Option Characteristics, and Stock Return Predictability
“Next, examining return predictability, we discover that while option variables indeed predict stock returns, sentiment variables add further informational content.”
AssetEquitiesoptions
StrategyNews sentimentmachine learning
GeographyUS
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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