Managements’ tone strategies by earnings call transcripts in the global markets

Rei Yamamoto (), Naoya Kawadai, Masataka Kurita and Satoshi Baba
Additional contact information
Rei Yamamoto: Keio University
Naoya Kawadai: Sumitomo Mitsui DS Asset Management Company, Limited
Masataka Kurita: IFIS Investment Management Co., Ltd
Satoshi Baba: Sumitomo Mitsui DS Asset Management Company, Limited

Journal of Asset Management, 2022, vol. 23, issue 3, No 5, 246-255

Abstract: Abstract This paper proposes a new investment strategy by using earnings call transcripts in the global stock markets. For this study, we (i) conducted appropriate data-cleaning, (ii) adjusted announcements timing, and (iii) extracted the accurate tone of the management which is not affected by public financial information. An empirical analysis in the global stock markets confirmed a 7.07% annual return of the proposed strategy based on a long-short analysis. We also compared the proposed strategy with existing smart beta strategies and found out that its characteristics differ from those of existing factor strategies.

Keywords: Earnings call transcript; Management’s tone; Text mining; Global markets; Smart beta (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1057/s41260-022-00256-2

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