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Title: Relation between analyst reports and stock market prices
Authors: Gupta, Amit
Nigam, Sarthak
Goswami, Shubham
Keywords: Analyst reports;Bayesian online changepoint;Latent Dirichlet Allocation;Value Analysts
Issue Date: 2018
Publisher: Indian Institute of Management Ahmedabad
Series/Report no.: SP_2488
Abstract: This project aims to examine the correlation between analyst predictions and stock market prices. Analysts publish reports at regular intervals for many regularly traded stocks on the market. The stock prices can then follow the predictions of the report or move in a completely opposite direction. This project first tries to and out important points of change in the stock price data using a probabilistic change point method given by adams et. al [2]. The change points are then used as indicators of the analyst reports that need to be examined. The analyst reports are examined using a text analysis technique called Latent Dirichlet Allocation[3] that gets topics(a group of words with associated probabilities) from the reports. Finally, the similarity in these topics is analyzed to and out the extent to which analyst reports are able to predict the future performance of a stock.
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