sentiment lexicon for finance (KOSELF). To verify the usefulness of textual opinions, the author constructs a calendar-time …

strategies over time. We then empirically show that strategy switching is key in understanding the persistent deviation of the …

classic approach. To demonstrate our approach, we use a logistic regression algorithm to build a time-series dual momentum …

We present a real-time, cross-asset, positions-based relative sentiment indicator to predict the U.S. equity market … timing of several “smart beta” equity factors — many of which were thought difficult or impossible to time. We propose a … — finding the proposed strategy produces higher returns (both absolute and risk-adjusted), while having considerably less time …