Abstract

http://ssrn.com/abstract=1625863
 
 

References (124)



 
 

Citations (3)



 


 



Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone


S. McKay Price


Lehigh University - Perella Department of Finance

James S. Doran


Implied Capital Advisors; Florida State University - Department of Finance

David R. Peterson


Florida State University - Department of Finance

Barbara A. Bliss


Florida State University

October 10, 2011

Journal of Banking and Finance, Vol. 36, No. 4, pp. 992-1011, 2012

Abstract:     
Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the incremental informativeness of quarterly earnings conference calls and the corresponding market reaction. We find that conference call linguistic tone is a significant predictor of abnormal returns and trading volume. Furthermore, conference call tone dominates earnings surprises over the sixty trading days following the call. The question and answer portion of the call has incremental explanatory power for the post-earnings-announcement drift and this significance is primarily concentrated in firms that do not pay dividends, illustrating differences in investor behavior based on the level of cash flow uncertainty. Additionally, we find that a context specific linguistic dictionary is more powerful than a more widely used general dictionary (Harvard IV-4 Psychosocial).

Number of Pages in PDF File: 66

Keywords: Conference calls, Disclosure, Content analysis, Textual analysis, Stock returns, Post-earnings-announcement drift

JEL Classification: D80, D82, G10, G12, G14, G30

Accepted Paper Series





Download This Paper

Date posted: June 18, 2010 ; Last revised: February 25, 2012

Suggested Citation

Price, S. McKay and Doran, James S. and Peterson, David R. and Bliss, Barbara A., Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone (October 10, 2011). Journal of Banking and Finance, Vol. 36, No. 4, pp. 992-1011, 2012. Available at SSRN: http://ssrn.com/abstract=1625863

Contact Information

S. McKay Price (Contact Author)
Lehigh University - Perella Department of Finance ( email )
621 Taylor Street
Bethlehem, PA 18015
United States
610-758-4787 (Phone)
HOME PAGE: http://www.mckayprice.com
James S. Doran
Implied Capital Advisors ( email )
1942 Broadway Suite 409
Boulder, CO 80302
United States
Florida State University - Department of Finance ( email )
Tallahassee, FL 32306-1042
United States
850-644-7868 (Phone)
HOME PAGE: http://garnet.acns.fsu.edu/~jsdoran/
David R. Peterson
Florida State University - Department of Finance ( email )
Tallahassee, FL 32306-1042
United States
850-644-8200 (Phone)
850-644-4225 (Fax)
Barbara A. Bliss
Florida State University ( email )
Tallahasse, FL 32306
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,690
Downloads: 527
Download Rank: 29,475
References:  124
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.344 seconds