Earnings Call Word Count Anomaly
In plain terms
When an earnings call runs unusually long OR the Q&A balloons relative to the prepared remarks (z >= 1.5 vs the ticker's own history), management is hedging — short.
How it works
Bushee-Matsumoto-Miller 2003 found longer earnings-call transcripts correlate with greater management uncertainty (saying more = hedging). Cross-source composite: leg 1 is transcript content_length z vs trailing-8-call own-baseline; leg 2 is Q&A share z (qa_n_sentences / total).
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Earnings call transcripts
Full earnings-call transcripts (prepared + Q&A), tokenised.
- Transcript finbert scores
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 75-200 bps
- Tested over
- T+1 to T+60d
75-200 bps over 30-60d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
When managers' call language gets harder to read (rising Fog index) Q/Q, they're hiding bad news. Predicts 12-month underperformance.
Listens to how steady management's tone is during analyst Q&A. If answers swing between confident and defensive, it usually signals trouble ahead.
Stocks earn an abnormal positive return in the 2 days before through 1 day after their scheduled earnings — uncertainty resolution premium.
Explore Earnings Call Word Count Anomaly on alphactor.ai
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