Which Voices Move Markets? Speaker Identity and the Cross-Section of Post-Earnings Returns
“Signal decay analysis and cumulative abnormal return charts confirm gradual price adjustment consistent with sluggish assimilation of soft information.”
AssetEquitiesindices, single stocks
StrategyEvent-driven strategiesnews sentiment
TechniqueLarge language modeltransformer
GeographyUSEurope
Also stated: Monthly, 2015–2025, Alpha, Long-short, Fundamentals, Text and news, benchmark, out-of-sample test
Missing from abstract: costs, multiple testing, universe
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The paper's neighbourhoodEvent-driven strategies by year
FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
AssetEquities40
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