Papers, wiki, Option Blackboard, encyclopedia, and cards.
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for such forecastability is that our text-based measure predicts future credit spread risk and firm profitability. More firm- and call-level complexity increase the forecasting power of o…
Earnings release is a key economic event in the financial markets and crucial for predicting stock movements. Earnings data gives a glimpse into how a company is doing financially and can hint at where its stock might go next. However, the irregularity of its release cycle makes it a challenge to incorporate this data in a medium-frequency algorithmic trading model and the usefulness of this data fades fast after it …
We create a time series model for annual returns of three asset classes: the USA Standard & Poor (S&P) stock index, the international stock index, and the USA Bank of America investment-grade corporate bond index. Using this, we made an online financial app simulating wealth process. This includes options for regular withdrawals and contributions. Four factors are: S&P volatility and earnings, corporate BAA rate, and…
We utilize FinBERT, a domain-specific transformer model, to parse 6.5 million sentences from 16,428 S&P 500 quarterly earnings call transcripts (2015-2025) and demonstrate that post-earnings stock returns are not equally affected by all speakers in a conference call. Our section-weighted sentiment, with empirically derived speaker weights (Analyst 49%, CFO 30%, Executive 16%, Other 5%), achieves an out-of-sample Spea…
This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that separating retail activity into "long-horizon" and "short-horizon" cohorts reveals divergent price anomalies. Long-horizon composition is associated with underreaction, characterize…
Economic behavior is shaped not only by quantitative information but also by the narratives through which such information is communicated and interpreted (Shiller, 2017). I show that narratives extracted from earnings calls significantly improve the prediction of both realized earnings and analyst expectations. To uncover the underlying mechanisms, I introduce a novel text-morphing methodology in which large languag…
We examine how textual features in earnings press releases predict stock returns on earnings announcement days. Using over 138,000 press releases from 2005 to 2023, we compare traditional bag-of-words and BERT-based embeddings. We find that press release content (soft information) is as informative as earnings surprise (hard information), with FinBERT yielding the highest predictive power. Combining models enhances e…
Our research investigates the relationship between eco-innovation and earnings management among 567 firms listed on the FTSE All-Share Index from 2014 to 2022. By examining how sustainability-driven innovation influences financial reporting practices, we explore the strategic motivations behind income smoothing in firms engaged in environmental initiatives. The findings reveal a positive association between eco-innov…
While Post-Earnings-Announcement Drift (PEAD) is one of the most studied stock market anomalies, the current literature is often limited in explaining this phenomenon by a small number of factors using simpler regression methods. In this paper, we use a machine learning based approach instead, and aim to capture the PEAD dynamics using data from a large group of stocks and a wide range of both fundamental and technic…
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional price-earnings ratio as a period of time, the new measure computes the requisite payback period whilst accounting for earnings growth. Having derived the measure, we outline a num…
This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall number of shares, suggesting that the EPS may increase, clearly the expenditure will reduce the net earnings of a company, introducing a trade-off between these competing effects. We first of all review accretive share repurchases, then ch…
ABSTRACT We propose a theory of securities market under‐ and overreactions based on two well‐known psychological biases: investor overconfidence about the precision of private information; and biased self‐attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes. We show that overconfidence implies negative long‐lag autocorrelations, excess volatility, and, when m…
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL). These markets give Liquidity Providers (LPs) granular control over how their capital is allocated and enable them to adjust their range of liquidity provision dynamically based on market conditions, which in turn, dictates how th…
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic reduced-form model where an AMM operates in parallel with a centralized exchange (CEX), traders route their orders optimally to the venue offering the better price, and arbitrageurs exp…
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are exposed to impermanent loss (IL) due to price fluctuations. While existing work has focused on static provision and exogenous exit strategies, we characterise the optimal exit time as the solution to a stochastic control problem with an endog…
An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in exchange for a stream of fees earned from its operations as a market maker. Within this work, we reinterpret the loss-versus-rebalancing as the implied fee stream generated by an AMM so that a risk-neutral investor is indifferent in the dec…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees earned from the market making operations. This position is represented by a liquidity token, whose prevailing on-chain price is effectively the initial deposited assets. Though this pri…
Uniswap is a decentralized exchange (DEX) and was first launched on November 2, 2018 on the Ethereum mainnet [1] and is part of an Ecosystem of products in Decentralized Finance (DeFi). It replaces a traditional order book type of trading common on centralized exchanges (CEX) with a deterministic model that swaps currencies (or tokens/assets) along a fixed price function determined by the amount of currencies supplie…
The cash-flow statement splits period cash into operating, investing, and financing — the bridge from accrual earnings to the bank account.
A cyclical stock’s earnings move with the economic cycle — cheap at the peak and expensive at the trough if you use a spot multiple.
A dividend is a cash (or stock) distribution of residual earnings to shareholders, declared by the board and not a contractual coupon.
Earnings per share is net income attributable to common, divided by weighted-average shares — basic or diluted.
EBIT is earnings before interest and tax — operating profit after depreciation, before capital structure and the tax man.
EBITDA is earnings before interest, tax, depreciation, and amortization — a crude operating-profit proxy used in leverage and EV multiples.
A growth stock is priced for high expected earnings or sales growth — a duration asset dressed as an equity.
The income statement is the period’s revenues minus expenses — accrual earnings, not cash.
The PEG ratio is P/E divided by expected earnings growth — a back-of-the-envelope adjustment of the multiple for growth.
The P/E ratio is price per share divided by earnings per share — how many years of current earnings the market is paying for.
S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.
A value stock screens cheap on book, earnings, or cash flow — a low multiple that can be a bargain or a melting ice cube.
Short high-accrual (low cash-earnings-quality) firms and long low-accrual firms — Sloan’s earnings-quality sort.
Long names with upward earnings-estimate revisions and short downward revisions — the revision-momentum book.
Overweight names (or the market) into scheduled earnings because average returns cluster around announcement windows.
Prefer announcement windows where the firm is also shrinking shares — event premium plus a buyback quality filter.
Rank on earnings yield and return on capital, buy the top combined rank — Greenblatt’s two-factor quality-value screen.
Long positive-surprise names and short negative-surprise names for weeks after the print — PEAD, the original earnings-momentum.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
Overweight cheap country indexes on CAPE (or similar cyclically adjusted earnings yield) and underweight rich ones.
Long high book-to-market (or cheap earnings/cash-flow) stocks and short expensive ones — classic HML as a book.
Short high-accrual (low cash-earnings-quality) firms and long low-accrual firms — Sloan’s earnings-quality sort.
Long names with upward earnings-estimate revisions and short downward revisions — the revision-momentum book.
The cash-flow statement splits period cash into operating, investing, and financing — the bridge from accrual earnings to the bank account.
A cyclical stock’s earnings move with the economic cycle — cheap at the peak and expensive at the trough if you use a spot multiple.
A dividend is a cash (or stock) distribution of residual earnings to shareholders, declared by the board and not a contractual coupon.
Overweight names (or the market) into scheduled earnings because average returns cluster around announcement windows.
Prefer announcement windows where the firm is also shrinking shares — event premium plus a buyback quality filter.
Earnings per share is net income attributable to common, divided by weighted-average shares — basic or diluted.
EBIT is earnings before interest and tax — operating profit after depreciation, before capital structure and the tax man.
EBITDA is earnings before interest, tax, depreciation, and amortization — a crude operating-profit proxy used in leverage and EV multiples.
A growth stock is priced for high expected earnings or sales growth — a duration asset dressed as an equity.
The income statement is the period’s revenues minus expenses — accrual earnings, not cash.
Rank on earnings yield and return on capital, buy the top combined rank — Greenblatt’s two-factor quality-value screen.
The PEG ratio is P/E divided by expected earnings growth — a back-of-the-envelope adjustment of the multiple for growth.
Long positive-surprise names and short negative-surprise names for weeks after the print — PEAD, the original earnings-momentum.
The P/E ratio is price per share divided by earnings per share — how many years of current earnings the market is paying for.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.
Overweight cheap country indexes on CAPE (or similar cyclically adjusted earnings yield) and underweight rich ones.
Long high book-to-market (or cheap earnings/cash-flow) stocks and short expensive ones — classic HML as a book.
A value stock screens cheap on book, earnings, or cash flow — a low multiple that can be a bargain or a melting ice cube.