48 Pages Posted: 19 Mar 2015 Last revised: 12 Jul 2017
Date Written: May 8, 2017
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: 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