美股-量化策略-使用自然语言预测未来股票收益

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1、EquityResearchQuantitativePortfolioStrategyArikBenDor+12125267713arik.bendor@barclays.comBCI,USJinglingGuan+12125263623jingling.guan@barclays.comBCI,USXiamingZeng+442031344461xiaming.zeng@barclays.comBarclays,UKIsInformationExtractedfromEarningsCallTranscriptsUsingNatu

2、ralLanguageProcessingPredictiveofFutureStockReturns?October2018BarclaysCapitalInc.and/oroneofitsaffiliatesdoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivity

3、ofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ThisresearchreporthasbeenpreparedinwholeorinpartbyequityresearchanalystsbasedoutsidetheUSwhoarenotregistered/qualifiedasresearchanalystswithFINRA.PLEASESEEANALYSTCERTIFICAT

4、ION(S)ANDIMPORTANTDISCLOSURESBEGINNINGONPAGE47.Restricted-ExternalKeyResults•InformationextractedfromearningscalltranscriptsusinganadvancedNLPtechniquehaspredictivepowerforsubsequentstockreturns•Stockswithmorepositiveearningscallsearnedhigherabnormalreturnsthanthosewit

5、hnegativecallsinthesubsequent90tradingdaysaftertranscriptsbecameavailable.Theoutperformancepersistedoverdifferenttime-periodsandacrosssectorsandpersistedaftercontrollingfortraditionalearningsmeasures(eg.earningssurprisesandearningsannouncementreturns)•AdailyrebalancedL

6、-SstockportfoliobasedonNLP-extractedsignalsdeliveredaninformationratiocloseto2andanannualizedalphaover12%inthepastdecade•TheNLP-extractedsignalshadadditivevaluetotraditionalearningsmeasures.Astockportfoliobasedonacombinationofallsignalsachievedanannualizedalphathatwash

7、igherbymorethan50%comparedtojustusingtraditionalmeasuresRestricted-External410October2018Outline•DataandSample•AnalyzingTranscriptswithNaturalLanguageProcessing(NLP)•EarningsCallPositivity(ECP):MeasurementandPerformanceüECPinanEventStudySettingüECPinaDynamicPortfolioSe

8、tting•AdditionalAnalysis•SummaryRestricted-External410October2018Introduction•Corporateearningsconferencecallsareoneo