Can news predict firm bankruptcy?
利用道琼斯通讯社的每日新闻全文，通过ChatGPT生成企业层面指标，发现新闻情绪能显著提升破产预测准确性，且效果优于FinBERT等模型。
We examine whether real-time business news predicts firm bankruptcy. Using full-text daily articles from the Dow Jones Newswires database, we generate firm-level predictors with ChatGPT and benchmark against FinBERT and dictionary-based models. ChatGPT-based variables outperform alternatives, with sentiment scores showing predictive power across horizons. Full-text news significantly enhance predictive accuracy over headlines. News-based measures add explanatory power beyond financial variables. Finally, we show that news captures timely information on macroeconomic conditions relevant to bankruptcy prediction, such as VIX, real GDP growth, and recession probability.