Context Analytics, Inc. differentiates through transparency. We provide our historical data, along with results related to back tested results and alpha derivation, to clients, academia, and interested firms.
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Word Count Alpha by Section
One of CA’s previous blogs looked at SEC filings in a straightforward way: count the number of words in the whole document, measure the change in word count versus the prior filing, and sort stocks on the result. Companies whose filings barely changed outperformed. Companies that made substantial edits changing the length of the document lagged. The underlying idea traces back to Cohen, Malloy and Nguyen’s “Lazy Prices”, which found that firms revising their filings heavily go on to underperform those that leave them alone.
