Levels versus Changes: Information Contents of Qualitative Verbal Information

26 Pages Posted: 14 Nov 2019 Last revised: 5 Mar 2020

See all articles by Kotaro Miwa

Kotaro Miwa

Kyushu University - Faculty of Economics; Tokio Marine Asset Management

Date Written: November 6, 2019

Abstract

In addition to quantitative financial information, qualitative verbal information has also been continuously changing. In this study, we clarify the information contents of changes in qualitative verbal information. As an analyzable sample, we focus on textual opinion in analyst reports. The analyses reveal that stock prices react considerably to changes in the tone of the report, even after controlling for their levels. Besides, they show asymmetric reactions to the levels and changes of the report tone; while prices overreact to the levels, they underreact to the changes. Our evidence suggests that a change in the textual tone provides incremental information which investors overlook, supporting the informational value of changes in qualitative verbal information.

Keywords: textual information; time-series difference; analyst report; report tone

JEL Classification: G14, G15, G24, G41

Suggested Citation

Miwa, Kotaro, Levels versus Changes: Information Contents of Qualitative Verbal Information (November 6, 2019). Available at SSRN: https://ssrn.com/abstract=3481618 or http://dx.doi.org/10.2139/ssrn.3481618

Kotaro Miwa (Contact Author)

Kyushu University - Faculty of Economics ( email )

6-19-1, Hakozaki
Higashi-ku
Fukuoka, Fukuoka 8128581
Japan

Tokio Marine Asset Management ( email )

1-3-1, Marunouchi
Chiyoda-ku
Tokyo
Japan
81332128186 (Phone)

HOME PAGE: http://sites.google.com/site/kotmiwa/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
20
Abstract Views
215
PlumX Metrics