LLM-Driven Investment Models: Evidence from Earnings Call Transcripts
“Out-of-sample backtests show that the LLM-based strategy produces economically meaningful returns and consistently outperforms the traditional NLP approach, even after incorporating transaction costs, signal lag, and realistic portfolio constraints.”
AssetEquities
StrategyNews sentimentevent-driven strategies
TechniqueLarge language model
Sample window2019–2023
Also stated: Excess return, Long-short, Fundamentals, Text and news, out-of-sample test, costs
Missing from abstract: benchmark, 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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