People often claim to "find" new market factors - but in reality they're just re-hashes of some other very well known and mathematically defined factor. I think

People often claim to "find" new market factors - but in reality they're just re-hashes of some other very well known and mathematically defined factor. I think in this case, its just called "momentum". Sentiment analysis is like alchemy. People have searched for it forever in hopes of some sort of pot of gold. Turns out, sentiment is directly caused by the markets. If you're in the red you're unhappy... its that simple. Then what happens? Your favorite WSJ reporter will write up some pessimistic article with a stock photo of some long-lost stock broker dinosaur with his face in his hands. Market might go down another few days... momentum. I haven't read the whitepaper - its paywalled. But probably not worth a read.