相关论文: Credit Information in Earnings Calls
Armed with a decade of social media data, I explore the impact of investor emotions on earnings announcements. In particular, I test whether the emotional content of firm-specific messages posted on social media just prior to a firm's…
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In…
Large language models are reshaping quantitative investing by turning unstructured financial information into evidence-grounded signals and executable decisions. This survey synthesizes research with a focus on equity return prediction and…
Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts. For point forecasts, we show how the effect of…
The use of robo-readers to analyze news texts is an emerging technology trend in computational finance. In recent research, a substantial effort has been invested to develop sophisticated financial polarity-lexicons that can be used to…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation…
Accurate forecasting of downside risks to economic growth is critically important for policymakers and financial institutions, particularly in the wake of recent economic crises. This paper extends the Growth-at-Risk (GaR) approach by…
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil…
This paper explores the application of Exploratory Data Analytics (EDA) in the banking and finance domain, focusing on credit card usage and customer churning. It presents a step-by-step analysis using EDA techniques such as descriptive…
Financial data, such as financial statements, contain valuable and critical information that may assist stakeholders and investors in optimizing their capital to maximize overall economic growth. Since there are many variables in financial…
Corporate credit rating serves as a crucial intermediary service in the market economy, playing a key role in maintaining economic order. Existing credit rating models rely on financial metrics and deep learning. However, they often…
The macroeconomic climate influences operations with regard to, e.g., raw material prices, financing, supply chain utilization and demand quotas. In order to adapt to the economic environment, decision-makers across the public and private…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
We study a pull-based communication system where a sensing agent updates an actuation agent using a query control policy, which is adjusted in the evolution of an observed information source and the usefulness of each update for achieving a…
The goal of this paper is to evaluate the informational content of sentiment extracted from news articles about the state of the economy. We propose a fine-grained aspect-based sentiment analysis that has two main characteristics: 1) we…
We study expert advice under reputational incentives, with sell-side equity research as the lead application. A long-lived analyst receives a continuous private signal about a binary payoff and recommends a risky (Buy) or safe action.…
Accurate time-series forecasting is vital for numerous areas of application such as transportation, energy, finance, economics, etc. However, while modern techniques are able to explore large sets of temporal data to build forecasting…
We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is…
In this study, ChatGPT is utilized to create streamlined models that generate easily interpretable features. These features are then used to evaluate financial outcomes from earnings calls. We detail a training approach that merges…
Financial news items are unstructured sources of information that can be mined to extract knowledge for market screening applications. Manual extraction of relevant information from the continuous stream of finance-related news is…