Mathematical Finance & Financial Data Science Seminar
Is Information Extracted from Earnings Call Transcripts Using Natural Language Processing Predictive of Future Stock and bond Returns?
Speaker: Arik Ben Dor, Head of Quantitative Equity Research, Barclays
Location: Online Zoom access provided to registrants
Date: Tuesday, November 30, 2021, 5:30 p.m.
Synopsis:
We examine whether sentiment extracted from earnings call transcripts using an advanced NLP (Natural Language Processing) technique is predictive of subsequent stock and bond returns. We show that controlling for commonly used measures of informational surprise, stocks' and bonds performance following the earning calls were significantly positively correlated with the sentiment level extracted from their transcripts. The outperformance was persistent over time and across all sectors, and was higher for smaller stocks with limited coverage by equity analysts, consistent with the effect of investors' inattention as well. A daily rebalanced equity L-S strategy constructed using the NLP-extracted signal delivered inf. ratio close to 2 and an annualized alpha over 12% in the past decade. Furthermore, a strategy based on combining the NLP signal with traditional earnings measures resulted in an annualized alpha that was higher by 50% compared with just using the traditional measures alone.
Bio
Dr. Ben Dor is the Head of Quantitative Equity Research at Barclays and a recognized authority in the area
of quantitative research. Over the past two decades, Dr. Ben Dor oversaw large scale research projects in
equities, rates, credit, and hedge funds used by the largest institutional investors globally including central
banks, Sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. His
innovative work on Duration Times Spread (DTS) as a new measure of credit risk, and the use of
information from credit markets in systematic equity strategies was broadly adopted by portfolio managers
and affected industry practices.
He co-authored three books on quantitative investing in credit securities and over fifteen articles in leading
industry journals. He is an advisory board member in the Journal of Portfolio Management and Journal of
Fixed income and was ranked 1st in II All-America Fixed Income Research Survey in the Quantitative
Analysis Category. He was also awarded a U.S. patent for his work related to synthetic replication of hedge
funds performance.
Prior to Barclays, Dr. Ben Dor worked at Lehman Brothers and Morgan Stanley. He holds a PhD in
Finance from the Kellogg Business School at Northwestern University, and completed both his B.A. and
M.A. in Economics from Tel Aviv University, Cum Laude.
Notes:
This event is free, but requires registration. Please click here to register