Text-NLP#62tier 1live in productionNew

`transcript peer relative tone`

cadence: Dailydata: mediumlong onlyshort onlylong short

2022

Frankel, Jennings & Lee (2022) *RAST*: "Disclosure Sentiment: Machine

Mechanism

Frankel, Jennings & Lee (2022) *RAST*: "Disclosure Sentiment: Machine Learning vs Dictionary Methods" — FinBERT-tone residualized against peers in the same industry has 2× the post-earnings drift R² of raw tone. The idea: an absolute tone of +0.2 means very different things for a defensive consumer-staples name (peer baseline ~+0.3) vs an early-stage biotech (peer baseline…

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
transcript_finbert_scores
Worker data table — see services/worker schema.

Expected edge

See referenced paper for original effect size; modern out-of-sample replication may be weaker.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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transcript peer relative tone