The Effects of Conference Call Tone on Market Perceptions of Value Uncertainty

48 Pages Posted: 19 Mar 2015 Last revised: 12 Jul 2017

Paul Borochin

University of Connecticut - School of Business

Jim Cicon

University of Central Missouri

Jared DeLisle

Utah State University

S. McKay Price

Lehigh University - Perella Department of Finance

Date Written: May 8, 2017

Abstract

Quarterly earnings conference calls convey fundamental information as well as manager and analyst opinion about the firm. This study examines how the market’s uncertainty regarding firm valuation is affected by abnormal earnings conference call tones. Using textual analysis of all publicly available conference calls, we find measures of abnormally negative conference call tones are positively related to measures of firm value uncertainty from the equity options market. Overall, value uncertainty is more sensitive to analyst tones than management tones. Abnormal differences between analyst and manager tones in the conference call discussion section are strongly associated with increases in value uncertainty.

Keywords: Earnings conference calls, Disclosure, Textual analysis, Option implied volatility, Uncertainty, Price discovery

JEL Classification: D80, D82, D83, G10, G12, G14, G30

Suggested Citation

Borochin, Paul and Cicon, Jim and DeLisle, Jared and Price, S. McKay, The Effects of Conference Call Tone on Market Perceptions of Value Uncertainty (May 8, 2017). 8th Conference on Financial Markets and Corporate Governance (FMCG) 2017. Available at SSRN: https://ssrn.com/abstract=2579907

Paul Borochin

University of Connecticut - School of Business ( email )

School of Business
2100 Hillside Road
Storrs, CT 06269
United States

James Cicon

University of Central Missouri ( email )

Warrensburg, MO 64093-5070
United States

Jared DeLisle (Contact Author)

Utah State University ( email )

Logan, UT 84322
United States
435-797-0885 (Phone)

S. McKay Price

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

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