"Investment with New Sentiment Analysis in Japanese Stock Market: Expert Knowledge Can Still Outperform ChatGPT" Abstract This paper presents a novel approach to sentiment analysis in the context of invest- ments in the Japanese stock market. Speci cally, we begin by creating an original set of keywords derived from news headlines sourced from a Japanese nancial news plat- form. Subsequently, we develop new polarity scores for these keywords, based on market returns, to construct sentiment lexicons. These lexicons are then utilized to guide invest- ment decisions regarding the stocks of companies included in either the TOPIX 500 or the Nikkei 225, which are Japan's representative stock indices. Furthermore, empirical studies validate the effectiveness of our proposed method, which signi cantly outperforms a ChatGPT-based sentiment analysis approach. This provides strong evidence for the ad- vantage of integrating market data into textual sentiment evaluation to enhance nancial investment strategies

Zhenwei Lin, Masafumi Nakano and Akihiko Takahashi
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Zhenwei Lin: Graduate School of Economics, The University of Tokyo
Masafumi Nakano: GCI Asset Management
Akihiko Takahashi: Faculty of Economics, The University of Tokyo

No CIRJE-F-1248, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Pages: 34 pages
Date: 2025-03
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