From Earnings News to Earnings Intelligence: Combining News and Earnings-call Transcripts

November 19, 2021

We take a deeper dive into the earnings intelligence provided by RavenPack as we explore the combination of earnings-related news and earnings call transcripts.

In this white paper, we take a deeper dive into the earnings intelligence provided by RavenPack as we explore the combination of earnings-related news and earnings call transcripts.

Watch the video summary

We find that:

  • When focusing on earnings-related news, signals based on quarterly sentiment change provide more long-term value than raw sentiment. For U.S. Mid/Large-Cap companies, the Information Ratio improves from 0.4 to 1.2 for a two-week holding period, while for U.S. Small-Caps, the Information Ratio increases from 0.5 to 1.9 at a monthly horizon.

  • Earnings news and earnings call transcript signals complement each other and the combination outperforms the individual signals for up to three week holding periods for U.S. Mid/Large-Caps and for up to one month for Small-Caps.

  • For an effective holding period of 10 days, the Information Ratio of the combined strategy rises from 1.2 to 1.4 for US Mid/Large-Caps, and from 2.6 to 3.0 for Small-Caps.

Earnings Intelligence wp




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