This paper examines information-content of corporate conference calls. It studies the determinants, and the consequences, of information production. To facilitate this study, I develop a novel measure of information-content which analyzes every word choice made by management during both sessions of the call. In a sample of S&P 1500 firms from 2001 to 2012, this new measure of information-content explains cumulative abnormal returns. It shows how CEOs produce (suppress) information during the conference call. It shows how analyst participation in the call improves information production. It shows that a differential value is placed on information conditioned on the market segment of the firm. I contrast the effectiveness of this new measure to that of the conventional methodologies of tone and word-counting. I provide evidence that this new information-content measure is better suited to conference calls than are the other two.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 28, 2015
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