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Predicting the Direction of Movement of Abnormal Returns using Earnings Conference Calls and FinBERT

Rudolfsson, Adam LU and Sandström, Carl LU (2022) In 1 DABN01 20221
Department of Economics
Abstract
Earning conference calls is an important communication tool for companies to provide relevant information about the latest quarter based on the reported earnings. However, the research on the impact of the earning conference calls has for long been a relatively unexplored subject. This study was born out of the ambition to try and expand the research done on earnings conference calls and the possibility to analyse them with FinBERT. This was conducted using a sample of 1118 quarterly earning conference calls, comprising 74 firms from the Information Technology Sector of the S&P 500 in an event study outline. The results suggest that the earning conference calls can be used for predicting the direction of abnormal returns with the help of... (More)
Earning conference calls is an important communication tool for companies to provide relevant information about the latest quarter based on the reported earnings. However, the research on the impact of the earning conference calls has for long been a relatively unexplored subject. This study was born out of the ambition to try and expand the research done on earnings conference calls and the possibility to analyse them with FinBERT. This was conducted using a sample of 1118 quarterly earning conference calls, comprising 74 firms from the Information Technology Sector of the S&P 500 in an event study outline. The results suggest that the earning conference calls can be used for predicting the direction of abnormal returns with the help of FinBERT and machine learning. Moreover, the Support Vector Machines achieved the highest accuracy of the tested models on the classification problem. (Less)
Please use this url to cite or link to this publication:
author
Rudolfsson, Adam LU and Sandström, Carl LU
supervisor
organization
course
DABN01 20221
year
type
H1 - Master's Degree (One Year)
subject
keywords
Sentiment Analysis, Machine Learning, FinBERT, Finance, Abnormal Return
publication/series
1
language
English
id
9088806
date added to LUP
2022-10-10 08:43:02
date last changed
2022-10-10 08:43:02
@misc{9088806,
  abstract     = {{Earning conference calls is an important communication tool for companies to provide relevant information about the latest quarter based on the reported earnings. However, the research on the impact of the earning conference calls has for long been a relatively unexplored subject. This study was born out of the ambition to try and expand the research done on earnings conference calls and the possibility to analyse them with FinBERT. This was conducted using a sample of 1118 quarterly earning conference calls, comprising 74 firms from the Information Technology Sector of the S&P 500 in an event study outline. The results suggest that the earning conference calls can be used for predicting the direction of abnormal returns with the help of FinBERT and machine learning. Moreover, the Support Vector Machines achieved the highest accuracy of the tested models on the classification problem.}},
  author       = {{Rudolfsson, Adam and Sandström, Carl}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{1}},
  title        = {{Predicting the Direction of Movement of Abnormal Returns using Earnings Conference Calls and FinBERT}},
  year         = {{2022}},
}