Unusual Financial Communication - Evidence from ChatGPT, Earnings Calls, and the Stock Market

66 Pages Posted: 8 Feb 2024 Last revised: 11 Apr 2024

See all articles by Lars Beckmann

Lars Beckmann

University of Münster - Finance Center Münster

Heiner Beckmeyer

University of Münster

Ilias Filippou

Washington University in St. Louis - John M. Olin Business School

Stefan Menze

University of Münster - Finance Center Münster

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School

Date Written: January 15, 2024

Abstract

We devise a prompting strategy for ChatGPT to identify and analyze unusual aspects of financial communication, focusing on earnings calls of S&P 500 firms. Utilizing the latest GPT-4-Turbo model, we identify and categorize unusual financial communication across 25 dimensions, which fall into four categories: unusual communication by executives, by financial analysts, unusual contents, and technical difficulties. A significant portion of earnings calls displays unusual financial communication, which correlates with certain firm characteristics and fluctuates with the business cycles. The stock market reacts negatively to unusual financial communication, with an elevated trading activity. This response is exacerbated when more dimensions of unusual communication are identified for a firm. We highlight the potential of large language models like ChatGPT for financial analyses, offering new insights into the interpretation of complex textual data and its economic consequences.

Keywords: AI, ChatGPT, Earnings Announcements, Earnings Call, Financial Communication, Textual Analysis

JEL Classification: C45, C88, D80, G11, G12, G14, M41

Suggested Citation

Beckmann, Lars and Beckmeyer, Heiner and Filippou, Ilias and Menze, Stefan and Zhou, Guofu, Unusual Financial Communication - Evidence from ChatGPT, Earnings Calls, and the Stock Market (January 15, 2024). Available at SSRN: https://ssrn.com/abstract=4699231 or http://dx.doi.org/10.2139/ssrn.4699231

Lars Beckmann (Contact Author)

University of Münster - Finance Center Münster ( email )

Universitätsstraße 14-16
Münster, 48143
Germany

Heiner Beckmeyer

University of Münster ( email )

Schlossplatz 2
Muenster, D-48143
Germany

HOME PAGE: http://heinerbeckmeyer.com

Ilias Filippou

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States

Stefan Menze

University of Münster - Finance Center Münster ( email )

Universitätsstraße 14-16
Münster, 48143
Germany

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

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