Earnings Revision Momentum Decay in the Post-2023 Regime
We document that the classic earnings revision momentum factor has experienced significant decay since 2023, with optimal holding periods collapsing from 10 to 5 days. We propose a regime-conditioned variant that restores out-of-sample Sharpe to 1.62...
Chen, A. · Patel, R.Jun 2026
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NLP · Signal
LLM-Extracted Earnings Sentiment as an Alpha Factor
We evaluate GPT-4 class models as extractors of forward-looking sentiment from earnings call transcripts. Our factor, constructed from semantic delta across consecutive calls, achieves a 3-day alpha of 1.8% with Sharpe 1.72 OOS across the S&P 500...
Rodriguez, M. · Kim, S.May 2026
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Macro · Regime
Yield Curve Inversion as a Regime Classifier for Equity Factor Rotation
We propose a hidden Markov model that conditions equity factor exposures on yield curve shape. Under inversion, momentum and quality factors are shown to dominate; under normalization, value and low-volatility outperform by 340bps annualized...
Liu, J. · Nakamura, T.Apr 2026
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