Voluntary Disclosure with Uncertainty of Investors' Response: Evidence from M&A Conference Calls

51 Pages Posted: 5 May 2021

See all articles by Youngki Jang

Youngki Jang

University of Delaware

Suresh Radhakrishnan

JSOM, University of Texas at Dallas

Date Written: April 23, 2021

Abstract

We examine the voluntary disclosure theory’s prediction of heterogeneous stock market reaction to M&A conference calls attributable to the uncertainty of investors’ response. Using a series of quantile regressions, we find that the incidence of conference calls is associated with both extremely negative and extremely positive M&A announcement abnormal returns. We find that this heterogeneous stock market reaction occurs for both low and high levels of words/ forward-looking words. Furthermore, the heterogeneous stock market reaction is substantially weaker when M&A conference calls are held after the firms observe the initial market reaction to the M&A press release. These results are robust to a battery of robustness tests. Collectively, the findings support the uncertainty of investors’ response to voluntary disclosures that can be perceived by investors as very good or very bad news, as an important factor for examining the valuation implications of voluntary disclosures.

Keywords: Voluntary disclosure, Quantile regression, Stock returns, Merger, Acquisition

Suggested Citation

Jang, Youngki and Radhakrishnan, Suresh, Voluntary Disclosure with Uncertainty of Investors' Response: Evidence from M&A Conference Calls (April 23, 2021). Available at SSRN: https://ssrn.com/abstract=3837666 or http://dx.doi.org/10.2139/ssrn.3837666

Youngki Jang (Contact Author)

University of Delaware ( email )

Newark, DE 19716
United States

Suresh Radhakrishnan

JSOM, University of Texas at Dallas ( email )

Mail Stop SM 41
800 West Campbell Road
Richardson, TX 75080
United States
972-883-4438 (Phone)
972-883-6811 (Fax)

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