Title:
Topic Sentiment Asset Pricing with DNN Supervised Learning

Abstract

We develop an innovative deep neural network (DNN) supervised learning approach to extracting insightful topic sentiments from analyst reports at the sentence level and incorporating this qualitative knowledge in asset pricing and portfolio construction. The topic sentiment analysis is performed on 113,043 Japanese analyst reports and the topic sentiment asset pricing model delivers superior predictive power on stock returns with adjusted R2 increasing from 1.6% (benchmark model without sentiment) to 14.0% (in-sample) and 13.4% (out-of-sample). We find that topics reflecting the subjective opinions of analysts have greater impact than topics of objective facts and justification of the quantitative measures. This is a joint work with Hitoshi Iwasaki. The paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3228485

Victoria Thompson is Group Head of Innovation Legal at Barclays Bank, based in London. Victoria is an experienced IP and IT lawyer with a deep knowledge of working with organisations to successfully design, develop and deliver corporate innovation strategy. Victoria recently re-joined Barclays in 2018 after living in Singapore for 6 years where she was previously the Group Head of the Development Bank of Singapore (DBS), Technology Operations, Intellectual Property and Innovation Legal Team. As a result of this role Victoria was a senior leader in helping DBS launch its award winning Digibank in India and Indonesia, the world’s biggest Financial Services open API developer portal and sandbox, and DBS’ Fintech strategy.

Victoria is a passionate advocate for the Blockchain community. She is a founder member of the London Blockchain Foundation (LBCF), a member of the British Blockchain Association, and ACCESS (the Singapore Cryptocurrency and Blockchain Industry Association). Victoria is also an alumni of MIT Sloan School of Management, Oxford Business School and Singapore University of Social Sciences where she studied Business Innovation and Blockchain Strategy. She is a regular speaker on her areas of specialist interest of open innovation, corporate entrepreneurship and IP Law.