transcript analyst frustration
What it checks
Measures the tone of the ANALYSTS asking questions, not management's answers. When their questions sound frustrated or skeptical, the stock tends to drift down over the following weeks.
Mechanism
Analyst tone during the Q&A section — the *questions* themselves, not the answers — carries forward-looking information independent of the news in the call. When analysts sound skeptical or frustrated (negative FinBERT tone, sharp questions), 60-day drift skews negative. We z-score per-call mean analyst_qa_tone against the firm's own history of analyst sentiment.
Signal rule
SHORT when analyst_qa_tone own-z <= -1.0 (analysts frustrated). LONG when own-z >= +1.0 (analysts enthusiastic).
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 window
- 2002-2008
Analyst Q&A tone predicts 60-day drift independent of the call's stated news content; cleanest signal on calls with multiple analysts asking sharp follow-ups.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Related families
transcript finbert qa dispersionText-NLPHuang-Wang-Yang (2023 CAR) "FinBERT: A Large Language Model for Extracting Information from Financial Text." FinBERT-tone outperforms Loughran-McDonald wordcount on every post-call drift measure tested (3-day CAR R² roughly doubles). Follow-up Chen et al. (2024 JFE) reports ~5% annualised L/S on the Q&A-dispersion sub-signal. Own-history z of per-call Q&A sentiment dispersion (stdev of per-sentence pos-neg score): short when z ≥ +1 (uncertainty), long when z ≤ −1 (confident answers).
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 cfo qa defensivenessText-NLPWhen a CFO oscillates between positive boilerplate and negative-tone clarifications during analyst Q&A (high cfo_qa_dispersion in FinBERT scores), they are typically defending weak fundamentals — predicting negative 60-90 day drift independent of the miss/beat itself. The signal isolates *defensive non-answers*: sentence-level CFO tone variance during the Q&A section, z-scored against the firm's own call history.
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