Of 241,000+ sources, only 15% carry statistically significant predictive power for equity returns. Filtering to the quality panel increases mean IC from 0.006 to 0.041 with no loss in coverage.
• +0.035 IC boostQuality sources vs unfiltered baseline
•Horizon-specific signal Each source peaks at a distinct time window
•85% noise removed 36K sources retained from 241K total
Our latest study shows that news-based sentiment provides statistically significant predictive power for U.S. CPI-U.
Adding sentiment to standard autoregressive baselines improves explanatory power and reduces forecast errors, consistent with an expectations-to-prices mechanism.
• +0.15 R² boost Improves accuracy vs baseline
•Expectations channel Optimistic tone = stronger demand & pricing power
