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

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.