Listening to the Tape Does Earnings Press-Release Language Predict Post-Announcement Returns?
“Cross-attention performs poorly over the full sample, with a 49.3% hit rate and a Sharpe ratio of 0.23, although its relative error improves after 2019.”
AssetEquities
StrategyEvent-driven strategiesnews sentiment
TechniqueLarge language modelfeedforward network
Sample window2015–2024
Also stated: Sharpe ratio, Long-short, Fundamentals, Text and news, out-of-sample test, universe of 501 firms
Missing from abstract: benchmark, costs, multiple testing
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The paper's neighbourhoodEvent-driven strategies by year
FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
AssetEquities40
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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