The effects of conference call tones on market perceptions of value uncertainty

被引：33

作者：

Borochin, Paul A. ^{[1
]}

Cicon, James E. ^{[2
]}

DeLisle, R. Jared ^{[3
]}

Price, S. McKay ^{[4
]}

机构：

[1] Univ Connecticut, Dept Finance, Sch Business, Storrs, CT 06269 USA

[2] Univ Cent Missouri, Harmon Sch Business & Profess Studies, Warrensburg, MO 64093 USA

[3] Utah State Univ, Dept Econ & Finance, Jon M Huntsman Sch Business, Logan, UT 84322 USA

[4] Lehigh Univ, Coll Business & Econ, Perella Dept Finance, Bethlehem, PA 18015 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2018年 / 40卷

关键词：

Earnings conference calls; Disclosure; Textual analysis; Scripting; Option implied volatility; Uncertainty; Price discovery; EARNINGS CONFERENCE CALLS; CLOSED CONFERENCE CALLS; IMPLIED VOLATILITY; DISCLOSURE REGULATION; INFORMATION-CONTENT; BROADENING ACCESS; STOCK RETURNS; BAD-NEWS; ANNOUNCEMENTS; MANAGERS;

D O I：

10.1016/j.finmar.2017.12.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Quarterly earnings conference calls convey fundamental information, as well as manager and analyst opinion about the firm. We examine how market uncertainty regarding firm valuation is affected by conference call tones. Using textual analysis of all publicly available earnings calls (2002-2012) for U.S. firms, we find measures of conference call tones are negatively related to measures of firm value uncertainty from the equity options market. Overall, while value uncertainty is more sensitive to analyst tones than manager tones, differences between analyst and manager tones are strongly associated with increases in value uncertainty. Tone spreads convey important signals to market participants. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：75 / 91

页数：17

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