5.3 China Earnings Transcripts
Last updated
Last updated
Reports are classified into one of below three types
Earning Call Transcripts: This is the transcripts of earning call meetings after annual or quarterly reports are filed with the Shanghai and Shenzhen stock exchanges.
Institutional On-site Research Transcripts: By regulation, Financial Professionals from the institutional sector (i.e Brokers, Asset Managers, Investment Banks, Researchers ect.) carry out onsite research on publicly listed companies. The companies then have the obligation to disclose the Q&A responses. Usually, 75%-80% of all companies disclose the Q&A meetings within 3 days.
Online Forum Transcripts: Retail investors will ask the publicly listed companies questions on the online forums - In which the executives of those companies will have to provide an answer for. These Q&A’s are shown in real time and have between 350,000 – 535,000 individual company interactions per year, shown across the full coverage of the China A market.
Orbit provides full coverage of the China A-Shares, with history going back 10+ years starting from 2012. The exchanges that we cover are both the Shanghai and Shenzhen stock exchanges.
We have all original documents, in structured JSON format, and translated into English. As a part this dataset service, Orbit also provides the updated transcripts data.
As a standard we provide all data before the next market open. However due to our inhouse data management an processing capabilities, we’re able to structure the latency based on your individual requirements.
Flat file delivery
The delivery of the data is provided in a JASN formatted flat file via AWS S3. You’ll be given an Access Key ID, Secret Access Key, Default Region Name, and AWS S3 bucket.
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Measuring the historical relationship of on-site research Q&A’s Vs Share price movement:
Buy/hold strategy for 5 & 10 days from next market open after on-site research Q&A filed with the exchange
Measured over a 3-year period
3,500 stocks & a total of 1991 published on-site research Q&A’s
Conclusion
Looking historically, those Companies seeing large requests for on-site research / Q&A sessions are seeing a positive impacts on share price over a 5 – 10 day period (based on trading at next market open from filing)
Filing Numbers in the period
Number of Companies
Average % Return
5 day holding
Accuracy
Average % Return
10 day holding
Accuracy
More than 50
37
20.10%
81.0%
27.08%
64.8%
21 - 50
125
23.10%
69.6%
27.70%
61.6%
11 – 20
278
18.23%
53.3%
21.67%
51.0%
Up to 10
1551
(0.55%)
47.0%
(10.64%)
38.3%
Metric Definition:
Filing Numbers in the period: No. of BRD reports from Jan 2018 to July 2020
No_of_Companies: No. of companies have BRC reports fit into the group
Yield_Holding_xdays: Accumulated return in % to buy when report is released and hold for x days
Accuracy: The percentage that trades on a stock profit.
Testing Scenario
Measuring the historical return on the back of on-site research Q&A’s, when sentiment is taken into account:
Buy/hold strategy for 15 & 30 days from the next market open after on-site research Q&A filed with the exchange Measured the return based on sentiment Measured over a 2-year period
Conclusion
Looking historically, those Companies seeing large requests for on-site research / Q&A sessions are seeing a positive impacts on share price over a 5 – 10 day period (based on trading at the next market open from filing)
Measuring the historical relationship between institutional on-site research sentiment Vs CSI300 Index
Measuring sentiment of 6 months of institutional on-site research transcripts Plot against the daily value of the CSI300 Index
Conclusion
Strong relationship between the sentiment of institutional on-site research and the overall price movement of the CSI300
Json file contains below keys:
stockcode – stock ticker of local exchange
exchangecode – MIC code of Shanghai stock exchange (XSHG) and Shenzhen stock exchange (XSHE)
typesOfInvestorRelationsActivities: ecm and brd (ecm is for the earning call transcript and brd is for broker research disclosure)
transcriptuniqueid – our internal unique ID
transcripttitle – transcript title
nameOfParticipatingUnitAndPersonnel – name of investor participants
time: { start_time – meeting start date and time
end_time – meeting end date and time, optional
published – date and time when the report is available on exchange website
}
Location – meeting location
listedCompanyReceptionistName – name of company participants
content:{ contented – internal unique ID
contenttype – statement is for the opening statement from company, question and answer are for the Q&A sessions
content – detailed transcript
}
versioned – version of the transcript, all defaulted to be 1 for now
uploadtime – date and time when transcript file is uploaded to Orbit S3 bucket
stockcode - stock ticker of local exchange
exchangecode - MIC code of Shanghai stock exchange (XSHG) and Shenzhen stock exchange (XSHE)
typesOfInvestorRelationsActivities - default to OQA
transcriptuniqueid - our internal unique ID
date - date of the online Q&As by answer date
versioned– version of the transcript, all defaulted to be 1 for now
content: [
{
question: {
question_id - internal unique ID
platform - name of the source platform
speak_user_name - person name
speak_time - date and time the person ask the question
content_cn/en – statement
reply: [
{
reply_id- internal unique ID
speak_time - date and time the person answer the question
content_cn/en – content
speak_user_name – person name
}
]
