Combining insider transactions with earnings call transcripts signals

January 12, 2022

Insider transactions data provides investors with insights into how C-level executives interpret their own information flow and form their views on potential mispricings in the market. On the other hand, earnings call transcripts give investors an opportunity to gain additional insights into the fundamental performance of a company.

By examining these two dimensions together, we find stronger, more predictable market reactions when the words of company executives agree with their actions:

  • Positive sentiment in earnings call transcripts leads to a more pronounced price drift when met with more insider buys over the trailing quarter, with a similar negative drift when negative sentiment coincided with more insider sales.

  • We can enhance the earnings call transcripts strategies by applying an insider transactions overlay tilt to overweight the companies where the transcripts-based sentiment and actions of insiders match, and vice versa.

  • The insider-enhanced strategies consistently outperform those based on standalone transcripts signals, particularly over long holding periods, with an average 20% Information Ratio improvement in the U.S. trading universes.

Combining insider transaction with earnings call transcript signals

RavenPack Earnings Intelligence

RavenPack Earnings Intelligence combines signals from separate sources augmented with sentiment and thematic analytics for a powerful alternative that removes the limits of isolated vendor data.

About RavenPack

RavenPack is the leading data analytics provider for financial services. The company's clients include the most successful hedge funds, banks, and asset managers in the world.

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