What Do Investors Hear When Firms Talk? Evidence from Analyst Reactions to Corporate Earnings Calls
A 2025 paper by Fan and Liu on event-driven strategies in equities, using tree ensembles: the abstract mentions a Sharpe ratio and profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Predictable reaction bias has economically large asset-pricing implications: a long-short portfolio based on the text-augmented signal earns an annualized return of 17% with a Sharpe ratio of 1.27, unexplained by standard risk factors.”
AssetEquities
StrategyEvent-driven strategies
TechniqueTree ensembleBayesian
ClaimSharpe ratioprofit
Also stated: Long-short, Fundamentals, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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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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