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Analyst Question Aggression Short

Updated quarterlyData needs: mediumshort only
paper
2014
Source
None (internal signal). The prior Carcello, Hermanson & Ye (2014, Auditing: A Journal of Practice & Theory) citation was removed: that paper is a corporate-governance literature survey containing no analyst-Q&A-tone signal, window, direction, or return prediction. The direction of this family is consistent with, but not a replication of, the earnings-call analyst-tone literature (e.g. Brockman, Li & Price 2015, 'Differences in Conference Call Tones: Managers versus Analysts,' Financial Analysts Journal 71(4), 24-42) and tone-dispersion work.
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In plain terms

When analysts pile on with aggressive questions on an earnings call (negative tone + scattered concerns), the stock tends to drop over the next 1-2 months.

How it works

Aggressive analyst pushback on earnings calls (negative FinBERT analyst-turn tone plus high tone dispersion) is an arms-length skepticism marker: analysts are price-checking management's narrative, so aggressive/dispersed questioning tends to precede 30-60d underperformance. Internal empirically-motivated mechanism, directionally consistent with the earnings-call-tone literature but not a replication of any single paper.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies

  • Daily prices

    Adjusted-close OHLCV for every US-listed ticker; primary price feed.

  • Transcript finbert scores

    A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return
~2-3% over 30-60d on top-quartile aggression
Tested over
T+1 to T+60d

No published estimate. Internal empirically-motivated signal; edge is established only by the in-house harness (random-shuffle significance + holdback), not by any paper.

Related families

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For informational and educational purposes only. Not financial advice. Learn more