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Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis
This bias can take two forms: a look-ahead bias, in which the LLM may have specific knowledge of the stock returns that followed a news article, and a distraction effect, in which general knowledge of the companies named interferes with the measurement of a text's sentiment.
New News is Bad News
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year.
Should Bank Stress Tests Be Fair?
Regulatory stress tests have become one of the main tools for setting capital requirements at the largest U. S. banks.
Linear Classifiers Under Infinite Imbalance
We study the behavior of linear discriminant functions for binary classification in the infinite-imbalance limit, where the sample size of one class grows without bound while the sample size of the other remains fixed.
Choosing News Topics to Explain Stock Market Returns
We analyze methods for selecting topics in news articles to explain stock returns.
