Econlinguistics

31 Pages Posted: 4 May 2020

See all articles by Andreas Barth

Andreas Barth

Goethe University Frankfurt - Department of Finance

Sasan Mansouri

Goethe University Frankfurt - Department of Finance

Fabian Woebbeking

Goethe University Frankfurt - Department of Finance

Date Written: April 8, 2020

Abstract

It is relatively easy for us humans to detect that a question we asked has not been answered - we teach this skill to a computer. More specifically, we develop a measure that detects the rejection, avoidance or dodging of a question. Using a supervised machine learning framework on a large training set of 48,197 classified responses to questions, we identify 703 trigrams that signal whether or not the respondent tries to avoid answering. We show that this dictionary has economic relevance by applying it to a validation set of contemporaneous stock market reactions after earnings conference calls. Our findings suggest that obstructing the flow of information leads to significantly lower cumulative abnormal stock returns and higher implied volatility. Our metric is designed to be of general applicability for Q&A situations, and hence, can be applied outside the contextual domain of financial earnings conference calls.

Keywords: Econlinguistics, textual analysis, natural language processing, multinominal inverse regression, information asymmetry, earnings calls

JEL Classification: D80, D82, G10, G14, G30

Suggested Citation

Barth, Andreas and Mansouri, Sasan and Woebbeking, Fabian, Econlinguistics (April 8, 2020). Available at SSRN: https://ssrn.com/abstract=3567724 or http://dx.doi.org/10.2139/ssrn.3567724

Andreas Barth

Goethe University Frankfurt - Department of Finance ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt, 60629
Germany

Sasan Mansouri

Goethe University Frankfurt - Department of Finance ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany
+49(0)6979833727 (Phone)

HOME PAGE: http://www.sasanm.ir

Fabian Woebbeking (Contact Author)

Goethe University Frankfurt - Department of Finance ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt, 60323
Germany
+49 (69) 798 33731 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
73
Abstract Views
360
rank
343,961
PlumX Metrics