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q-fin.GN2023★ 13 cited
Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis
Paul Glasserman, Caden Lin
Large language models (LLMs), including ChatGPT, can extract profitable trading signals from the sentiment in news text. However, backtesting such strategies poses a challenge beca…
q-fin.GN2023
New News is Bad News
Paul Glasserman, Harry Mamaysky, Jimmy Qin
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribu…