Format:
1 Online-Ressource (31 p)
Content:
In this study, we examine the effect of stale, factual information on stock price formation, utilizing Shikiho, the Japan Company Handbook, as a pivotal data source. The breadth and depth of information offered by Shikiho, covering all listed Japanese companies, and compiled by independent journalists, are unmatched by other market data sources. Our innovative approach involves the use of large language models, specifically ChatGPT, to interpret the business implications within Shikiho's corporate descriptions and future projections. The interpreted data serves as a basis to classify firms into positive and negative outlook groups, which are further quantified into confidence scores. These scores inform the construction of an equity portfolio. Benchmarking the portfolio's performance against relevant risk factors suggests that the market may not fully absorb the factual information encapsulated in Shikiho's text. These observations prompt a deeper inquiry into market efficiency, the role of public information in price discovery
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 8, 2023 erstellt
Language:
English
DOI:
10.2139/ssrn.4535647
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