Transcript Revision Disagreement Magnitude
In plain terms
The larger the gap between management optimism on a call and subsequent analyst estimate cuts, the stronger the drift toward analyst reality.
How it works
Large disagreement between management tone (FinBERT on the call transcript) and the magnitude of analyst estimate revisions in the following 30 days signals a credibility gap. The bigger the disagreement, the stronger the subsequent price reversal toward analyst consensus.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Finbert scores
A data feed this strategy reads, refreshed on its normal schedule.
- Earnings transcripts
Full earnings-call transcripts (prepared + Q&A), tokenised.
Expected edge
- Tested over
- 2003-2010 (Larcker-Zakolyukina)
Magnitude of tone-revision disagreement predicts 2-5% 60-day return in the cross-section.
Related families
When the prepared remarks on an earnings call are much more upbeat than the Q&A section, the stock tends to drift down as the optimism fades.
When analyst price targets are widely spread after an earnings call and management tone was bullish, the stock tends to underperform as the optimistic outliers revise down.
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