Financial sentiment classifiers are commonly evaluated against human labels, but strong linguistic performance does not necessarily imply economically useful return predictability. This study separates these questions through two experiments. First, we construct a unified three-class benchmark from five financial text datasets and compare TF--IDF Naive Bayes, off-the-shelf FinBERT and Financial-RoBERTa encoders, zero-shot Qwen2.5-7B, and QLoRA-adapted Qwen2.5-7B, LLaMA3-8B, and Mistral-7B models. Mistral-7B achieves the best test accuracy (0.8840) and macro-F1 (0.8771), while QLoRA raises Qwen2.5's macro-F1 from 0.7274 to 0.8615. An inverse-frequency class-weighted loss does not improve Qwen2.5. Second, we evaluate economic validity on a temporally separate 2019 Benzinga sample containing 10,637 unique headlines and 13,115 headline--stock observations for a fixed S\&P~100 universe. Model probabilities are converted into continuous sentiment scores, aggregated by stock and signal date, and aligned with next-session returns over one-, two-, three-, and five-day horizons. All seven downstream models produce positive but small mean rank information coefficients at the one-day horizon; the largest is 0.0143 for FinBERT. None of the 28 model--horizon tests remains significant after Newey--West inference and false-discovery-rate correction. Portfolio results likewise fail to establish a robust advantage for the best-performing classifiers. The findings show that QLoRA is effective for financial sentiment adaptation, while also documenting a clear gap between classification accuracy and tradable cross-sectional signals.
Financial sentiment extraction has largely relied on news text and supervised extraction against return labels alone, leaving 10-K filings -- and volatility, the target risk disclosure is arguably best suited to informing -- comparatively unexplored. We extend a supervised lexicon-learning approach to 10-K filings and their Item 1A risk-factor sections, training sentiment scores against both return and volatility labels at three levels of aggregation: sector, portfolio, and individual firm. Across 1,383 filings from 94 Nasdaq-100 technology constituents (2006--2023), we evaluate the resulting twelve sentiment metrics on classification accuracy, correlation with realised market outcomes, and qualitative lexical content. Full-filing text produces more accurate sentiment at the sector and portfolio level for both targets, but this reverses at the individual-firm level, where the narrower Item 1A section performs better -- an effect we attribute to the interaction between document volume and the amount of independent training signal available at each level of aggregation. A Loughran-McDonald dictionary baseline is consistently, strongly negatively correlated with price at every level tested, underscoring the value of a supervised approach for regulatory disclosure text. These findings, and the design choices they motivate, establish the sentiment-generation methodology underlying a subsequent, larger-scale, multi-source system.
Martin Anthony, Kaveh Salehzadeh Nobaristat.ML cs.LG
Recent empirical work shows that semantically equivalent paraphrases can fool financial sentiment classifiers: although a paraphrase remains close to the original under a strong reference embedding, it may shift the target model's representation enough to change the predicted class. Existing robustness theory either assumes a single-model threat model or focuses mainly on empirical attack algorithms. We develop a continuous local model of semantic paraphrase perturbations that captures this two-model structure. We show that the worst-case local displacement of the target representation, subject to a proxy-model budget, is governed by the largest generalised eigenvalue of a matrix pencil $(A,B)$ constructed from the Jacobians of the two embedding maps. The resulting attackability index $λ^*(x)$ is intrinsic to the local paraphrase geometry and the chosen embedders, yields a closed-form prediction-flip condition for affine readouts, and supports conservative population and finite-sample attackability certificates. For uniform control over classes of affine readouts, we derive a distribution-free VC bound for binary attackability indicators and a scale-sensitive margin bound based on an attackability-adjusted margin that subtracts a local geometric penalty from the standard classifier margin. We also connect the continuous theory to discrete paraphrase search, identify an asymmetry between successful and unsuccessful finite searches, and give a covering condition under which the discrete and continuous settings agree. Finally, we propose an empirical verification framework using soft-token relaxations and generated paraphrase sets to assess the local eigenvalue geometry, prediction-flip condition, and finite-search approximation on a deployed financial-text classifier.