GDELT News Tone
Daily article count and average tone from GDELT's Global Knowledge Graph, matched to companies via name/alias dictionaries. Scored with both FinBERT (ProsusAI/finbert) and VADER so the two scorers can be directly compared.
Signal construction
For each company, we query GDELT GKG for articles mentioning the company name or any registered alias within each trading day. We compute: (1) raw article count, (2) mean GDELT tone field, (3) FinBERT positive probability, (4) VADER compound score. Each is z-scored vs. trailing 60-day window and cross-sectionally ranked.
Limitations & caveats
Entity matching is approximate; precision audited on 200 randomly sampled article-company pairs per source. GDELT includes many marginal articles. Tone in global news may not reflect US equity-relevant sentiment.
Evaluation results
Rank IC (Spearman) with Newey-West standard errors, walk-forward with 21-day embargo. Multiple-testing correction: Benjamini-Hochberg at q=0.05 across all signal × horizon × cohort tests.