Large Language Models for Asset Pricing: Learning from Earnings Calls
“Portfolios formed on EAR-AI deliver sizable Sharpe ratios with robust out-of-sample performance.”
AssetEquities
StrategyNews sentimentmachine learning
TechniqueLarge language model
Sample window2009–2024
Also stated: Sharpe ratio, Fundamentals, Text and news, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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