Can ChatGPT forecast stock price movements? Return predictability and large language models
ChatGPT 能否预测股价走势?收益可预测性与大语言模型AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要核心是新闻标题对股票收益与后续漂移的可预测性,并涉及价格效率与套利限制,直接对应收益预测与资产定价两个方向。
ChatGPT 能否预测股价走势?收益可预测性与大语言模型AI 解读 ↓
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We document the capability of large language models (LLMs) like ChatGPT to predict stock market reactions from news headlines without direct financial training. Using post-knowledge-cutoff headlines, GPT-4 captures initial market responses, achieving approximately 90% portfolio-day hit rates for the non-tradable initial reaction. GPT-4 scores also significantly predict the subsequent drift, especially for small stocks and negative news. Forecasting ability generally increases with model size, suggesting that financial reasoning is an emerging capacity of complex LLMs. Strategy returns decline as LLM adoption rises, consistent with improved price efficiency. To rationalize these findings, we develop a theoretical model that incorporates LLM technology, information-processing capacity constraints, underreaction, and limits to arbitrage.