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

Author

Listed:
  • 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
    IBM Japan, Ltd.)

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.

Suggested Citation

  • Rei Yamamoto & Naoya Kawadai & Masataka Kurita & Satoshi Baba, 2022. "Managements’ tone strategies by earnings call transcripts in the global markets," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 246-255, May.
    • Handle: RePEc:pal:assmgt:v:23:y:2022:i:3:d:10.1057_s41260-022-00256-2
    DOI: 10.1057/s41260-022-00256-2
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    References listed on IDEAS

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