Transcript Exec Uncertainty
In plain terms
Filters out analyst speech and just measures how often the CEO/CFO use uncertainty words ('may', 'could'). High uncertainty = bearish.
How it works
Loughran-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.
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.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
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