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
Date Written: January 29, 2021
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: Suggested Citation