The impact of analysts' forward-looking information on stock investment returns — A quantitative study based on textual analysis

The information conveyed by analysts’ research reports has a guiding effect on investors’ decision-making behavior, which in turn synergistically affects stock price volatility. To quantify the relationship between the impact of analysts’ research reports on investor returns under the complex online platform, this study first obtains the headline text data of 39,786 analysts’ research reports for the period of January 1, 2017 to December 31, 2021 on Eastmoney. Second, the sentiment dictionary of analysts’ research reports is constructed by text mining technology, and the corresponding stock sentiment values are obtained based on the SESTM model, and stocks with sentiment values greater than a certain threshold are screened out. Finally, simulated backtesting is conducted by equal weighting, and the results show that this deep learning-based analyst forward-looking report headline construction of a complete quantitative investment trading strategy has a high investment return in trading backtesting. This study is of great theoretical and practical significance for understanding the forward-looking analysis of analysts’ research reports and effectively guiding rational investment behavior. © 2024 Systems Engineering Society of China. All rights reserved.