January 12, 2022
By examining insider transactions with earnings call transcripts together, we find stronger, more predictable market reactions when the words of company executives agree with their actions.
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.
To read more about RavenPack’s Earnings Intelligence series research
Equity Factor Investing Enhanced with News & Earnings Call Transcripts
Uncover Alpha with Earnings Calls Transcript Data
Earnings Intelligence: European Markets
Combining News and Earnings-call Transcripts
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.
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We consider incorporating sentiment signals from news, earnings call transcripts, and insider transactions to
boost the risk-adjusted returns, and revive factor performance.
We find stronger, more predictable market reactions when the words of company executives agree with their actions.
We have gathered 12 insights from 2021 research that can be leveraged in 2022.