Earnings Conference Call Sentiment Systematically Impacts Share Prices

Stock prices of companies with the most positive earnings conference call hashtag#sentiment outperform over the following month. Below is a monthly updated example using past 90-day deciles.

• UNIVERSE: All US companies with available transcript data
• REBALANCING: Monthly at the close of the last trading day
• LOOKBACK: 3 months (usually last available quarterly call)

Note the stocks are bought at the beginning of the month, up to 90 days after the earnings conference call. The price drift is quite significant and long-term.