Riding the Blockchain Mania: Public Firms’ Speculative 8-K Disclosures

Cheng, S. F., De Franco, G., Jiang, H., & Lin, P. (2019). Riding the blockchain mania: Public firms’ speculative 8-K disclosures. Management Science, 65(12), 5901-5913. https://doi.org/10.1287/mnsc.2019.3357

Recently, Cheng et al. (2019) has shown that publicly-traded firms that mentioned speculative blockchain-related in their 8-K disclosures enjoy a positive but transitory stock price increase. Here, we replicate their search procedure using conference call transcripts.

Define search parameters

# Search endpoint ("API")
url = "https://conferencecall.search.windows.net/indexes/earnings/docs";

# Blockchain-related conference calls contain:
search = "bitcoin OR blockchain OR cryptocurrency";

# Count results by Reuters Instrument Code up to Top-10 firms
facet = "Derived/MostRelevantRIC, count:10";

# Include only U.S.-based firms in the search
filters = "Derived/GeographyName/any(country: country eq 'United States')";

Call the search endpoint

• apikey = credentials are available from the author (required)

• api-version = version of the search endpoint (required)

• requests = reads content from the web service specified by url and the query parameters and returns the content in data.

import requests
data = requests.get(url, params={"api-key":apikey, "api-version":"2020-06-30",
                                 "search":search, "facet":facet, "$filter":filters})

Show RICs with the most blockchain related conference calls

import pandas as pd
pd.json_normalize(data.json(), record_path=["@search.facets","Derived/MostRelevantRIC"])

	count	value
0	31	OSTK.OQ
1	17	BR.N
2	16	GROW.OQ
3	13	AMD.OQ
4	12	MA.N
5	12	SQ.N
6	11	SRTI.PK^A20
7	9	CME.OQ
8	9	NVDA.OQ
9	8	CBOE.Z