War Discourse and Cross-Section of Expected Stock Returns
Parvaiz (2026) studies news sentiment and text signals in equities using a large language model over 2016–2023. The abstract mentions alpha, t-statistics, a benchmark and an out-of-sample test but not transaction costs, multiple testing or the size of the universe.
“The annualized equal-weighted spread between the highest and lowest WDE quintiles is approximately 17.2%, with a risk-adjusted alpha of 0.95% per month.”
AssetEquitiessingle stocks
StrategyNews sentimentmomentum
TechniqueLarge language modellinear factor model
GeographyGlobalEurope
Also stated: Monthly, 2016–2023, Alpha, t-statistic, Text and news, benchmark, out-of-sample test
Missing from abstract: 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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