Price & Market BehaviorCore researchInvalidNew

Transcript Tone X Short Interest

Updated dailyData needs: mediumshort only

2023

Cookson, Engelberg & Mullins (2023) *RFS*: "Echo Chambers" + Jiang-Li

In plain terms

Negative tone shift on the call PLUS rising short-volume in the following days = continued downside over 20 days. Tone confirmed by flow.

How it works

Cookson, Engelberg & Mullins (2023) RFS "Echo Chambers" + Jiang-Li (2024). Compound signal: a negative tone shift on the earnings call followed by rising FINRA short-volume in the next 5 days predicts continued downside over a 20-day hold. The cross-table version adds ~30% to plain transcript-tone alpha because short-flow corroborates the negative narrative — the market is acting on it, not just reading it. Reported Sharpe 1.4; orthogonal to PEAD. SHORT only.

Live results

0 times picked on its own · 3 times inside a blend (3 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 3 such blended picks (3 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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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.
Short volume
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported Sharpe: 1.4 (Cookson-Engelberg-Mullins 2023)
Tested over: 2010-2021

The cross-table version adds ~30% to plain transcript-tone alpha because short-flow corroborates the negative narrative — the market is acting on it, not just reading it.

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