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Construction of Behavioral-Based Signals
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Classroom Contents
Natural Language Processing - Deciphering the Message Within the Message Stock Selection
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- 1 Intro
- 2 The ABCs of NLP
- 3 Motivation - Why is NLP Important?
- 4 NLP General Steps
- 5 Stock Selection Insights Using Earnings Call Transcripts
- 6 Motivation - Historical Performance Comparison of Strategies
- 7 Earnings Call - Introduction
- 8 Text Preprocessing prior to Signal Construction
- 9 Two Main Categories of Signals
- 10 Construction of Sentiment-Based Signals: Sentiment Level
- 11 Construction of Sentiment-Based Signals (continued): Change in Level and Change in Trend
- 12 Construction of Behavioral-Based Signals
- 13 Description of Empirical Results
- 14 Sentiment-Based Signals Empirical Results
- 15 Sentiment Based Signals - Entire Transcripts
- 16 Controlling for Risk and Alpha Signals
- 17 Natural Tilts of Sentiment-Based Signals
- 18 Results after control for risk and alpha factors
- 19 Correlations
- 20 Takeaways - Empirical Results
