executive pronoun shift
What it checks
When executives stop saying 'we/our' and shift to 'I/my/the company' on earnings calls, the stock tends to drop over the next 1-3 months.
Mechanism
Distancing language — shifting from inclusive 'we/our' to 'I/my/the company' — is a credibility marker; Larcker-Zakolyukina 2012 link it to later restatements + negative drift.
Signal rule
earnings_call_transcripts: pronoun-distancing index Y/Y delta own-z >= 1.0 -> SHORT 30/60/90d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
earnings_call_transcriptsFull earnings-call transcripts (prepared + Q&A), tokenised.
Expected edge
- Paper alpha
- ~3% over 30-90d on top-decile pronoun shift
- Paper window
- T+1 to T+90d
Larcker-Zakolyukina 2012: pronoun distancing predicts ~3% underperformance + 2× restatement probability.
Related families
transcript obfuscation bloomfieldText-NLPBloomfield (2002) Incomplete Revelation Hypothesis: managers obfuscate bad news through reduced readability. Bochkay-Chychyla-Nanda (2020 JAR) formalized the test on conference calls: the Gunning Fog Index Q/Q delta predicts 12-month negative drift on the readability-decay decile (~4% underperformance annualised). Own-history z of the call's Fog index: short when fog_z ≥ +1 (sudden complexity spike → obfuscation), long when fog_z ≤ −1 (sudden simplification, often pre-positive guidance).
transcript exec uncertaintyText-NLPLoughran-McDonald 2011 + Demers et al. 2021 (Frontiers in AI): the uncertainty/weak-modal word rate within EXECUTIVE turns (not the full transcript) is a sharper bearish signal than overall transcript sentiment. CEO/CFO speech is filtered by speaker regex (chief executive, chief financial, ceo, cfo, president, chairman). SHORT when exec_unc_z ≥ +1.0; long leg disabled because some execs are naturally terse.
mdna tone deltaFilingsLoughran-McDonald 2011 JF demonstrate the *tone* of 10-K filings — positive vs negative finance-specific lexicon — predicts forward returns. Distinct from filing_text_delta's *uncertainty* lexicon. Effect: bottom-decile tone-delta underperforms top-decile by ~2-3% over 4 weeks, persisting ~12 weeks. Today consumes the cached Item 1 (Business) text; switches to Item 7 (MD&A) when the EDGAR pipeline emits it (tracked in docs/alpha-research/proposals/).
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