Publication details
The Robustness of Sentiment Factors in Quantitative Investment Strategies
| Authors | |
|---|---|
| Year of publication | 2025 |
| Type | Research report |
| MU Faculty or unit | |
| Description | *This report analyzes information content of sentiment-based factors using S&P 500 stocks. We implement multiple scaling techniques to account for company-specific and market-wide sentiment patterns, and evaluate portfolio performance across different subsamples. Additionally, we introduce a dynamic momentum strategy that adaptively selects optimal portfolio sizes based on rolling historical performance. |