This month, we highlight one recent academic paper by Löffler, et al , using linguistic tone analysis on Moody’s rating reports. Löffler, et al  research coincides with one of our recent papers (see Rohal, et al ), in which we apply NLP (Natural Language Processing) and machine learning techniques on corporate filing data from the EDGAR database. We are in the process to expand our research to other textual datasets.
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After sifting through over 2,000 papers presented at the annual AEA (American Economic Association) and AFA (American Finance Association)
conference in January 2017 in Chicago, we have carefully chosen around 150 most interesting and relevant
papers in five fields: alpha signal, risk and portfolio construction, multi-asset and global macro, trading, and
ESG for this issue. The AEA/AFA conference is probably the largest and most well-known event for
graduating PhD students seeking jobs in either academia or industry. In our opinion, the papers presented
during the conference represent some of the best and most innovative research.
Introducing our first Journal of Quantitative, Economics, and Strategy (JQES) publication. Before we officially launch our research in February 2017, we would like to share some of the best academic research papers related to investing that we have come across over the past few months.