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Earnings Call Textual Information an...
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ProQuest Information and Learning Co.
Earnings Call Textual Information and the Cross-Section of Stock Returns.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Earnings Call Textual Information and the Cross-Section of Stock Returns./
作者:
Bodmeier, Andreas.
面頁冊數:
1 online resource (54 pages)
附註:
Source: Dissertation Abstracts International, Volume: 79-03(E), Section: A.
Contained By:
Dissertation Abstracts International79-03A(E).
標題:
Finance. -
電子資源:
click for full text (PQDT)
ISBN:
9780355519549
Earnings Call Textual Information and the Cross-Section of Stock Returns.
Bodmeier, Andreas.
Earnings Call Textual Information and the Cross-Section of Stock Returns.
- 1 online resource (54 pages)
Source: Dissertation Abstracts International, Volume: 79-03(E), Section: A.
Thesis (Ph.D.)
Includes bibliographical references
This paper investigates the informational value of corporate earnings calls in investment decision-making. I employ a computational linguistics approach to extract textual information from corporate earnings calls and show that it predicts returns beyond other previously identified predictors. Specifically, I find that portfolios sorted on the verbal information in earnings calls transcripts generate abnormal return spreads of up to 7.6% on an annualized basis. This text-based predictability is higher among firms subject to higher degrees of business change, as proxied by R&D spending, product market fluidity, and gross profit volatility. Further, I show that call information predicts firm fundamentals up to six months following the earnings call. In sum, textual information contained in the only panel data set documenting the interaction between firm management and investors contains highly value-relevant information to which investors underreact.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780355519549Subjects--Topical Terms:
559073
Finance.
Index Terms--Genre/Form:
554714
Electronic books.
Earnings Call Textual Information and the Cross-Section of Stock Returns.
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This paper investigates the informational value of corporate earnings calls in investment decision-making. I employ a computational linguistics approach to extract textual information from corporate earnings calls and show that it predicts returns beyond other previously identified predictors. Specifically, I find that portfolios sorted on the verbal information in earnings calls transcripts generate abnormal return spreads of up to 7.6% on an annualized basis. This text-based predictability is higher among firms subject to higher degrees of business change, as proxied by R&D spending, product market fluidity, and gross profit volatility. Further, I show that call information predicts firm fundamentals up to six months following the earnings call. In sum, textual information contained in the only panel data set documenting the interaction between firm management and investors contains highly value-relevant information to which investors underreact.
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