Forecasting Net Income Estimate and Stock Price Using Text Mining from Economic Reports
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Department of Systems Innovation, School of Engineering, The University of Tokyo, Tokyo 113-8656, Japan
2
Nikko Asset Management Co., Ltd., Tokyo 107-6242, Japan
*
Author to whom correspondence should be addressed.
Information 2020, 11(6), 292; https://doi.org/10.3390/info11060292
Received: 30 April 2020
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Revised: 17 May 2020
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Accepted: 27 May 2020
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Published: 30 May 2020
(This article belongs to the Special Issue CDEC: Cross-disciplinary Data Exchange and Collaboration)
This paper proposes and analyzes a methodology of forecasting movements of the analysts’ net income estimates and those of stock prices. We achieve this by applying natural language processing and neural networks in the context of analyst reports. In the pre-experiment, we applied our method to extract opinion sentences from the analyst report while classifying the remaining parts as non-opinion sentences. Then, we performed two additional experiments. First, we employed our proposed method for forecasting the movements of analysts’ net income estimates by inputting the opinion and non-opinion sentences into separate neural networks. Besides the reports, we inputted the trend of the net income estimate to the networks. Second, we employed our proposed method for forecasting the movements of stock prices. Consequently, we found differences between security firms, which depend on whether analysts’ net income estimates tend to be forecasted by opinions or facts in the context of analyst reports. Furthermore, the trend of the net income estimate was found to be effective for the forecast as well as an analyst report. However, in experiments of forecasting movements of stock prices, the difference between opinion sentences and non-opinion sentences was not effective.
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MDPI and ACS Style
Suzuki, M.; Sakaji, H.; Izumi, K.; Matsushima, H.; Ishikawa, Y. Forecasting Net Income Estimate and Stock Price Using Text Mining from Economic Reports. Information 2020, 11, 292. https://doi.org/10.3390/info11060292
AMA Style
Suzuki M, Sakaji H, Izumi K, Matsushima H, Ishikawa Y. Forecasting Net Income Estimate and Stock Price Using Text Mining from Economic Reports. Information. 2020; 11(6):292. https://doi.org/10.3390/info11060292
Chicago/Turabian StyleSuzuki, Masahiro, Hiroki Sakaji, Kiyoshi Izumi, Hiroyasu Matsushima, and Yasushi Ishikawa. 2020. "Forecasting Net Income Estimate and Stock Price Using Text Mining from Economic Reports" Information 11, no. 6: 292. https://doi.org/10.3390/info11060292
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