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

49 Pages Posted: 19 Mar 2015 Last revised: 7 Feb 2018

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: December 18, 2017

Abstract

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

Suggested Citation

Borochin, Paul and Cicon, Jim and DeLisle, Jared and Price, S. McKay, The Effects of Conference Call Tones on Market Perceptions of Value Uncertainty (December 18, 2017). Journal of Financial Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2579907 or http://dx.doi.org/10.2139/ssrn.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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