In this paper, we propose a methodology to forecast the direction and extent of volatility in mid-to-long term excess return of stock price by applying natural language processing and neural networks on the context of analyst reports. Analyst reports are prepared by analysts in research department in stock brokerage firms and we consider the content of reports include usefull information to forecast movements in stock prices. First, our method extracts opinion sentences from analyst reports, while the remaining parts correspond to non-opinion sentences. Second, our method predicts stock price movements by inputting opinion sentences and non-opinion sentences to neural networks separately.
