Monthly Archives: June 2015

Finding alpha in earnings transcripts

In our latest research note, written as a collaboration between ExtractAlpha and AlphaSense, we examine sentiment changes in earnings call transcripts and find that portfolios which are long stocks with improving transcript tone and short stocks with decreasing transcript tone tend to outperform. The outperformance is not explained by exposures to common risk and return factors such as Momentum and EPS Revisions, and is additive to a baseline quantitative strategy.