The Effects of Conference Call Tones on Market Perceptions of Value Uncertainty
49 Pages Posted: 19 Mar 2015 Last revised: 7 Feb 2018
Date Written: December 18, 2017
Quarterly earnings conference calls convey fundamental information, as well as manager and analyst opinion about the firm. We examine how market uncertainty regarding firm valuation is affected by conference call tones. Using textual analysis of all publicly available earnings calls (2002-2012) for U.S. firms, we find measures of conference call tones are negatively related to measures of firm value uncertainty from the equity options market. Overall, while value uncertainty is more sensitive to analyst tones than manager tones, differences between analyst and manager tones are strongly associated with increases in value uncertainty. Tone spreads convey important signals to market participants.
Keywords: Earnings conference calls, Disclosure, Textual analysis, Scripting, Option implied volatility, Uncertainty, Price discovery
JEL Classification: D80, D82, D83, G10, G12, G14, G30
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