q and a hesitation short
What it checks
When the Q&A section of an earnings call shows lots of hedging and mixed-confidence answers, the stock tends to underperform over the next 1-3 months.
Mechanism
HHVT 2019 establishes that hesitancy/hedging content of Q&A on earnings calls is a firm-level risk marker. We proxy hesitation with the FinBERT QA-dispersion + neutral-share composite on the Q&A turns. High hesitation own-z predicts short-side drift over 30-90 days.
Signal rule
transcript_finbert_scores.qa_dispersion + 0.5*neutral_share own-z >= 1.0 -> SHORT 30/60/90d
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
transcript_finbert_scoresWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~2-4% over 60d on top-decile hesitation
- Paper window
- T+1 to T+90d
HHVT 2019 reports persistent firm-level political-risk premium; hesitancy subcomponent ~2-4% over 60d on top-decile.
Related families
transcript qa evasionText-NLPBochkay-Brown-Leone-Tucker (2024 JAR) "Managers' Use of Language in Earnings Conference Calls and Future Performance." Signal is the semantic distance between an analyst's question and management's answer. When the answer is far from the question (mgmt evading), the firm underperforms over the next 60 days. Reported: LS quintile Sharpe 1.4, 7.8% annualised. v1 uses Jaccard token-overlap distance as a CPU-only proxy; v2 will swap to sentence-embedding cosine.
transcript qa combativenessText-NLPHollander-Pronk-Roelofsen 2010 + Matsumoto-Pronk-Roelofsen 2011: longer analyst questions + lower management answer/question word-count ratios signal skepticism and predict near-term underperformance. Two per-call features: avg_analyst_q_len (tokens per analyst turn) and mgmt_response_ratio (CEO/CFO tokens / analyst tokens). z-score within own history; SHORT when current call's combativeness z > 1.0 (84th percentile). Long leg disabled because positive responses are noisy (good news makes execs talkative).
transcript political risk hhvtText-NLPHassan-Hollander-van Lent-Tahoun (2019 QJE 134(4)) "Firm-Level Political Risk: Measurement and Effects." The authors build a political-bigram lexicon from training corpora (politics textbooks + party platforms) and score each conference call as the share of its bigrams that appear in the lexicon. The score predicts hedging activity, capex sensitivity to elections, and cross-sectional returns (long-short decile spread ~4-6% annualised, Sharpe 0.6-0.8 in the 2023/2024 updates).
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