Financial market analysis has focused primarily on extracting signals from accounting, stock price, and other numerical hard data reported in P&L statements or earnings per share reports. Yet, it is well-known that the decision-makers routinely use soft text-based documents that interpret the hard data they narrate. Recent advances in computational methods for analyzing unstructured and soft text-based data at scale offer possibilities for understanding financial market behavior that could improve investments and market equity. A critical and ubiquitous form of soft data are earnings calls. Earnings calls are periodic (often quarterly) statements usually by CEOs who attempt to influence investors' expectations of a company's past and future performance. Here, we study the statistical relationship between earnings calls, company sales, stock performance, and analysts' recommendations. Our study covers a decade of observations with approximately 100,000 transcripts of earnings calls from 6,300 public companies from January 2010 to December 2019. In this study, we report three novel findings. First, the buy, sell and hold recommendations from professional analysts made prior to the earnings have low correlation with stock price movements after the earnings call. Second, using our graph neural network based method that processes the semantic features of earnings calls, we reliably and accurately predict stock price movements in five major areas of the economy. Third, the semantic features of transcripts are more predictive of stock price movements than sales and earnings per share, i.e., traditional hard data in most of the cases.
翻译:金融市场分析主要侧重于从会计、股票价格和P&L报表或每股收益报告中报告的其他数字硬数据中提取信号;然而,众所周知,决策者经常使用软文本文件来解释他们所叙述的硬数据;最近对非结构化和软文本数据进行大规模分析的计算方法进展,使人们有可能了解金融市场行为,从而可以改善投资和市场公平;一种关键和无处不在的软数据形式是收入呼吁;收益呼吁通常是CEO的定期(通常是季度)报表,他们试图影响投资者对公司过去和今后业绩的期望;然而,众所周知,我们在这里研究收入呼吁、公司销售、股票业绩和分析师建议之间的统计关系;我们的研究涵盖2010年1月至2019年1月6 300家公营公司大约100 000份收入记录誊本的十年观测结果,我们在这项研究中报告了三项新发现;首先,收入前专业分析员的购买、出售和接受建议的情况是定期(通常是季度)报表,通常由CEOEO来影响投资者对公司过去和今后业绩的期望;其次,我们研究的是收入呼吁、公司销售中最坚固的内心网络价格波动、更精确地预测了股价波动的方法。