Class 9
Financial Screening and Signal Construction
Description
This session introduces financial screening as a process for using accounting measures and other observable characteristics to identify firms or observations warranting additional investigation. Screening is important because analysts frequently face populations too large for individual examination and therefore need systematic methods for prioritizing attention.
Motivation
How do we systematically identify unusual firms?
Review
The course has developed methods for extracting, transforming, combining, and analyzing both structured and textual data. This session shifts the emphasis from preparing individual sources toward using those data to construct analytical signals that distinguish potentially interesting observations from a larger population.
Preparation
- Reading the common final project requirements is useful for this class, and the first deliverable for Matt.
Class plan
- This class will discuss the data and technology choices required for each team to screen a broad group of targets to a narrow group.
- We will discuss how the data will be sourced for different screens. Outside of a factset only screen, additional screening approaches will require the collection of data and the use of calculations and joins.
- We will discuss the use of Gen-AI in the process of screening stocks for long and short candidates, and the risks our analysis has if we cannot verify Gen-AI recommendations.
- We will conclude class with each team submitting a plan for their screening process and how data is used.
Team format
Assessment Teams
Materials
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Class 09 Slides
View slides: Class 09 Slides -
Screening Overview Handout
An Overview of Potential Data for Use in Screening
Open document: Screening Overview Handout -
Screening Template
Screening Template (Team Submission)
Open document: Screening Template