Transcript Tone X Short Interest
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.
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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