Identify which qualitative aspects of analyst reports are most informative to investors

Determine which qualitative aspects of sell-side analyst research reports investors find most informative, specifically identifying the categories of textual content within these reports that provide the greatest value-relevant information for explaining contemporaneous stock returns.

Background

The paper studies the value of information contained in sell-side analyst reports, focusing on the qualitative narratives alongside quantitative forecasts. Prior work has largely relied on sentiment analysis, but investors and surveys emphasize broader written content as valuable, creating a need to rigorously assess which parts of the text matter most.

The author notes a gap highlighted in the literature: while analysts’ narratives are widely used, it has remained unresolved which specific qualitative elements within reports are most informative to investors. The study proposes using LLM embeddings and a Shapley value decomposition across 17 topics to address this question.