Momentum, Commentary Tone, and Earnings Surprise in LLM Financial Forecasts

Abstract

Which inputs drive a language model's financial forecast? We construct synthetic earnings announcements that independently reverse 20-day momentum, non-informational commentary tone, and whether fixed actual EPS beats a manipulated consensus. Six instruction/chat checkpoint conversions from four families (0.49-7.61B base parameters) receive 2,016 prompts each under a direct-answer Q8_0 protocol. The design includes 24 numerical blocks, six commentary pairs, profits and losses, rising and falling annual EPS, and two surprise sizes. Both A/B answer assignments and U/D cover all 384 primary scenarios per conversion. We estimate matched changes in conditional answer-prefix scores, not calibrated market probabilities. Across these checkpoints, the primary EPS contrast ranges from -0.19 to 86.80 percentage points. The magnitude of the primary signed tone contrast exceeds that of EPS in 5 of six models, and momentum exceeds it in 5. Natural-word numerical diagnostic accuracy ranges from 51.0 to 95.8 percent. Answer-encoding, wording, context, and conversion controls qualify these results. The experiment measures observable input reliance and numerical recognition; it establishes neither an internal reasoning mechanism nor realized return predictability. Public benchmark prompts, recorded scores, and an interactive recorded-results explorer accompany the study.