Levels versus Changes: Information Contents of Textual Information

Forthcoming in International Review of Finance

26 Pages Posted: 14 Nov 2019 Last revised: 12 Feb 2021

See all articles by Kotaro Miwa

Kotaro Miwa

Kyushu University - Faculty of Economics

Date Written: January 29, 2021

Abstract

We clarify information value of changes in the textual information of analyst reports. The analyses reveal that stock prices react considerably to changes in the tone of reports. In addition, prices react asymmetrically to the levels and changes of report tone, overreact to the levels, and underreact to changes. Our evidence suggests that a change in the textual tone provides incremental information that investors overlook, supporting the informational value of changes in textual information.

Keywords: textual information; analyst report; linguistic tone

JEL Classification: G14, G24, G41

Suggested Citation

Miwa, Kotaro, Levels versus Changes: Information Contents of Textual Information (January 29, 2021). Forthcoming in International Review of Finance, 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

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