Information Transfer and Conference Calls

62 Pages Posted: 10 Nov 2016 Last revised: 26 Sep 2018

See all articles by Francois Brochet

Francois Brochet

Boston University - Department of Accounting

Kalin S. Kolev

City University of New York - Stan Ross Department of Accountancy

Alina Lerman

University of Connecticut - Department of Accounting

Date Written: December 22, 2017

Abstract

A long-standing literature documents the existence of intra-industry capital market co-movements around earnings releases, yet the dynamics of these information transfers remain largely unexplored. We provide evidence on both the sources and the channels of information transfers by separating two distinct events within the reporting window, and by exploring potential mechanisms of information flows. First, we examine the intra-industry information transfer associated with quarterly earnings conference calls, using intra-day data to decouple their effects from those of the associated earnings announcements. We document that the co-movement of absolute and signed stock returns over the conference call windows of announcing firms and their industry peers are statistically and economically larger than the co-movement over the corresponding earnings announcement windows. Turning to mechanisms, we find that shared analyst coverage, coverage by analysts providing industry recommendations, shared institutional ownership, and joint financial press mentions are each individually and incrementally associated with higher rate of information transfer over both the earnings announcement and conference call windows. Additional analyses reveal that information transfer occurs both to peers that have already announced and those that are yet to announce, and that peer mentions and macroeconomic discussions are both significant contributors to the conference call information transfers.

Keywords: Conference calls, Information transfer, Intra-day, TAQ, Information intermediaries

JEL Classification: D83, M41

Suggested Citation

Brochet, Francois and Kolev, Kalin S. and Lerman, Alina, Information Transfer and Conference Calls (December 22, 2017). Available at SSRN: https://ssrn.com/abstract=2867031 or http://dx.doi.org/10.2139/ssrn.2867031

Francois Brochet

Boston University - Department of Accounting ( email )

595 Commonwealth Avenue
Boston, MA 02215
United States

Kalin S. Kolev

City University of New York - Stan Ross Department of Accountancy ( email )

One Bernard Baruch Way, Box B12-225
New York, NY 10010
United States

Alina Lerman (Contact Author)

University of Connecticut - Department of Accounting ( email )

School of Business
Storrs, CT 06269-2041
United States

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