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A Semiparametric Gaussian Copula Regression Model for Predicting Financial Risks from Earnings Calls

William Yang Wang,Zhenhao Hua

Published 2014 in Annual Meeting of the Association for Computational Linguistics

ABSTRACT

Earnings call summarizes the financial performance of a company, and it is an important indicator of the future financial risks of the company. We quantitatively study how earnings calls are correlated with the financial risks, with a special focus on the financial crisis of 2009. In particular, we perform a text regression task: given the transcript of an earnings call, we predict the volatility of stock prices from the week after the call is made. We propose the use of copula: a powerful statistical framework that separately models the uniform marginals and their complex multivariate stochastic dependencies, while not requiring any prior assumptions on the distributions of the covariate and the dependent variable. By performing probability integral transform, our approach moves beyond the standard count-based bag-ofwords models in NLP, and improves previous work on text regression by incorporating the correlation among local features in the form of semiparametric Gaussian copula. In experiments, we show that our model significantly outperforms strong linear and non-linear discriminative baselines on three datasets under various settings.

PUBLICATION RECORD

  • Publication year

    2014

  • Venue

    Annual Meeting of the Association for Computational Linguistics

  • Publication date

    2014-06-01

  • Fields of study

    Mathematics, Business, Economics, Computer Science

  • Identifiers
    DOI 10.3115/v1/P14-1109
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

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