Related papers: The Value of Information from Sell-side Analysts
This paper documents novel investment value in analyst report text. Using 1.2 million reports from 2000-2023, I embed narratives with large language models (LLMs) and fit machine learning (ML) forecasts of future long-term returns.…
Intelligence analysts' roles include analyzing reports, identifying important information relevant to the current state of affairs, and communicating their takeaways. These reports are then analyzed and reported to decision-makers or…
People in the real world often possess vague knowledge of future payoffs, for which quantification is not feasible or desirable. We argue that language, with differing ability to convey vague information, plays an important but less-known…
Argumentation provides a representation of arguments and attacks between these arguments. Argumentation can be used to represent a reasoning process over evidence to reach conclusions. Within such a reasoning process, understanding the…
The present paper shows that it can be advantageous for traders to publish their information on the true value of an asset even if they (i) cannot build a position in the asset prior to the publication of their information and (ii) cannot…
We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader…
We study investor learning and information acquisition in private markets using a large dataset of expert network calls. We develop a sequential Large Language Model (LLM)-Bayesian framework that treats expert interactions as sequential…
Value-of-information analyses provide a straightforward means for selecting the best next observation to make, and for determining whether it is better to gather additional information or to act immediately. Determining the next best test…
"How much is my data worth?" is an increasingly common question posed by organizations and individuals alike. An answer to this question could allow, for instance, fairly distributing profits among multiple data contributors and determining…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
Over recent years Value of Information analysis has become more widespread in health-economic evaluations, specifically as a tool to perform Probabilistic Sensitivity Analysis. This is largely due to methodological advancements allowing for…
Information is replicable in that it can be simultaneously consumed and sold to others. We study how resale affects a decentralized market for information. We show that even if the initial seller is an informational monopolist, she captures…
Every fiscal quarter, companies hold earnings calls in which company executives respond to questions from analysts. After these calls, analysts often change their price target recommendations, which are used in equity research reports to…
Economic behavior is shaped not only by quantitative information but also by the narratives through which such information is communicated and interpreted (Shiller, 2017). I show that narratives extracted from earnings calls significantly…
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for…
We consider a monopoly information holder selling information to a budget-constrained decision maker, who may benefit from the seller's information. The decision maker has a utility function that depends on his action and an uncertain state…
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…