## 2 Materials and Methods  
### Investor Daily Transcripts  
Our core dataset consists of investor day transcripts (IDTs). IDTs were downloaded from Bloomberg Terminal (cf. www.bloomberg.com, last accessed: 14 September 2022) as individual PDF files. These were converted using Adobe Acrobat into text (i.e., txt) files. The IDTs are transcripts from presentations hosted by insurers to provide information about the firm to investors. US-listed insurers are required to update the market quarterly throughout the year, whereas UK-listed firms are only required to update the market biannually. As a result, not all insurers have the same number of transcripts. The UK general insurance market consists of domestic insurers, such as _Admiral and Aviva_ (who provide car and household insurance) and international insurers, such as AIG and Munich Re (who provide insurance and reinsurance to international businesses). Large overseas insurers such as Allianz and Axa are also included since they have substantial UK operations.  
IDTs are typically in two distinct sections. The first is a presentation by the firm's senior executives (referred to as the Company section), covering financial and operational performance since the previous communication, and typically includes perspectives on future opportunities or headwinds. For example, from _Direct Line Group_'s (DLG) 2019 Year-End IDT: \"We have delivered an operating profit of 547 million and a return on tangible equity of 20.8%, which I think demonstrates the resilience of the business model\". This text describes the financial performance of DLG. The same report mentions also that \"the technology upgrades that we have been working towards are injecting real momentum into the transformation now\" in relation to operational issues. In each case, these sentences provide insight into the Company's perspective on its performance. The second section covers \"Questions & Answers\" (\"Q&A\"), providing market analysts the opportunity to ask for further detail on specific areas of interest or challenge the firm on any aspects of the materials presented. For example, using the same DLG IDT, and extracting a question from one of the analysts, \"...on the reserve releases. I guess they are a little bit lower than all of us in aggregate expected, how did that compare to your expectations?\" Such questions provide information of what the market finds of interest, as well as potentially their perspective (as opposed to the firm's view).  
On average, Q&A transcripts are around 50% longer than the Company section in terms of word count, and there is a positive correlation (Pearson's \(\rho=0.65\), \(p<0.001\)) between the length of the company section and the length of the Q&A section--i.e., firms that tend to have a lengthy Company section also provide more time for Q&A (see Figure 1, bottom left).  
Data cleaning and text parsing were applied separately to each section as well as combined depending on the purpose. In total, 44 general insurers were selected, resulting in \(N_{IDT}=829\) IDTs covering the period 2014 to 2021. During the period there were a number of transactions resulting in discontinuities in the data. For example, ACE only has 7 quarters of transcript data, as it acquired Chubb in Q4 2015 and retained the Chubb (rather than the Ace) brand. Such discontinuities inevitably distort over-time firm-level analysis but do not invalidate industry trends--for example, in this case, the Chubb transcripts from 2016 onwards contain business performance and risks of the combined entity.