This repository hosts a basic Python code that calculates the firm level scores of earnings call transcripts as developed in:
- Hassan, Tarek, Stephan Hollander, Laurence van Lent, and Ahmed Tahoun, "Firm-Level Political Risk: Measurement and Effects," Quarterly Journal of Economics, 134(2020), pp. 2135-2202.
- Hassan, Tarek, Stephan Hollander, Laurence van Lent, and Ahmed Tahoun, "Firm-level Exposure to Epidemic Diseases: Covid-19, SARS, and H1N1," Working Paper.
- Hassan, Tarek, Stephan Hollander, Laurence van Lent, and Ahmed Tahoun, "The Global Impact of Brexit Uncertainty ," Working Paper.
Please see https://www.firmlevelrisk.com/ for the papers and most recent update of their firm level scores.
To create the scores, please run ~./code/run_score.py. The code creates the following scores:
- Risk (Risk in the QJE paper)
- Sentiment (Sentiment in the QJE paper)
- Covid (as in the recent working paper on firm exposure to diseases)
- Political (Pol in the QJE paper)
- Political Risk (PRisk in the QJE paper)
- Political Sentiment (PSentiment in the QJE paper)
For more details on the scores, please see the paper itself.
To run this code, you need to install Python 3 and the following modules: BeautifulSoup, Pandas.
Please direct any questions about the code to mschwed at bu dot edu.
- Earnings call transcripts I use two example earnings call transcripts that I downloaded from https://www.fool.com/earnings-call-transcripts/ but more can be added.
- Synonyms of risk Manually transcribed from Oxford Dictionary.
- Sentiment words Downloaded from https://sraf.nd.edu/textual-analysis/resources/#Master%20Dictionary.
- Political bigrams and associated tf*idf weights Taken from the latest update of the PRisk scores. Note that the political bigrams are not published on https://www.firmlevelrisk.com/. But we include them in this repository for convenience. For more details on how they are created, please see the readme.md in its input folder here or the paper.
A tab-separated file that contains the above scores for each of the earnings call transcripts.