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

Rei Yamamoto, Naoya Kawadai, Masataka Kurita, Satoshi Baba

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
JournalJournal of Asset Management
Publication statusAccepted/In press - 2022


  • Earnings call transcript
  • Global markets
  • Management’s tone
  • Smart beta
  • Text mining

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management
  • Information Systems and Management


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