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Session Overview
Session
Session 3.06: Forecasting Stock Prices with a News-Based Model
Time:
Tuesday, 26/Aug/2025:
12:00pm - 12:30pm

 Location: Mikado Conference hall

Meeting hall “Mikado”, which can accommodate up to 50 people

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Presentations

Forecasting Stock Prices with a News-Based Model

Prof. Anatoly Schmidt

NYU Tandon School, United States of America

It is assumed in the news-based model of stock pricing (NBSPM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using an optimal ARMA-GARCH model. In this work, the NBSPM accuracy for forecasting stock prices is compared with that of the momentum-enhanced five-factor Fama-French model. The results for a representative list of holdings of nine major US equity sector ETFs demonstrates superiority of the NBSPM in most cases.