ChatGPT's monthly good-news ratio from Wall Street Journal headlines predicts S&P 500 excess returns in and out of sample; DeepSeek, BERT, and word lists do not.
It answers whether the input news meansGOING UPfor the stock market; PC1–PC5 are the first five principal components of the 14 economic variables proposed by Welch and Goyal (2008)
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ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?
ChatGPT's monthly good-news ratio from Wall Street Journal headlines predicts S&P 500 excess returns in and out of sample; DeepSeek, BERT, and word lists do not.