LLM event tags on tweets are said to form contrarian alpha factors, but the results look like in-sample fits with inconsistent statistics.
Twitter sentiment and stock returns
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Event-Aware Sentiment Factors from LLM-Augmented Financial Tweets: A Transparent Framework for Interpretable Quant Trading
LLM event tags on tweets are said to form contrarian alpha factors, but the results look like in-sample fits with inconsistent statistics.