Transcript Exec Tone Divergence
In plain terms
Compares CEO tone vs CFO tone on the same earnings call. If the CEO sounds optimistic but the CFO sounds cautious, they're not on the same page — historically bearish.
How it works
When the CEO and CFO speak with different sentiment tones on the same earnings call, post-earnings drift skews negative. We compute |ceo_tone − cfo_tone| per call from FinBERT scores on speaker-tagged transcript segments, then z-score against the firm's own history. A high absolute divergence implies the strategic narrative (CEO) and financial detail (CFO) are misaligned — a bearish setup. Negative z (unusually aligned tones) acts as a confidence proxy.
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
- ~3-4% ann. L/S (Davis-Ge-Matsumoto-Zhang 2015 follow-up)
- Tested over
- 1995-2010
Modern FinBERT-driven replications report ~3-4% annual long-short on the absolute tone-gap, z-scored against the firm's own history.
Related families
Listens to how steady management's tone is during analyst Q&A. If answers swing between confident and defensive, it usually signals trouble ahead.
Specifically measures the CFO's tone swings during the analyst Q&A portion. When the CFO oscillates between positive boilerplate and defensive clarifications, expect a forward miss.
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.
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