Empirically weighted FinBERT sentiment from specific speakers in earnings transcripts predicts post-earnings returns with 2.03% monthly alpha after Fama-French factors and SUE controls, outperforming dictionary methods.
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
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Which Voices Move Markets? Speaker Identity and the Cross-Section of Post-Earnings Returns
Empirically weighted FinBERT sentiment from specific speakers in earnings transcripts predicts post-earnings returns with 2.03% monthly alpha after Fama-French factors and SUE controls, outperforming dictionary methods.