Text of analyst reports, represented by LLM embeddings, explains 10.19% of three-day abnormal returns out-of-sample, exceeding the 9.01% from quantitative forecasts.
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The Value of Information from Sell-side Analysts
Text of analyst reports, represented by LLM embeddings, explains 10.19% of three-day abnormal returns out-of-sample, exceeding the 9.01% from quantitative forecasts.