上一頁 | 標題： | Demers, E.A., and C. Vega (2014) “Understanding The Role of Managerial Optimism and Uncertainty in the Price Formation Process: Evidence from the Textual Content of Earnings Announcements”, working paper. |
| 出版日期： | 2014/04/01 |
| 摘要： | We examine the optimism and uncertainty of managerial communications about their firm’s quarterly earnings results. Consistent with earlier work, we find that unexpected managerial textual net optimism is priced by the market, however we also show that the market impact of this soft information is higher when the simultaneously released earnings are less informative signals of the firm’s value (e.g., for high-tech or high P/E multiple firms) and when the text is made more credible by the numerical terms included in the announcement, through the scrutiny of more analysts, or through a history of more informative communications. Furthermore, we document that textual uncertainty is incrementally informative about the first and second moment of abnormal returns, and that it’s a predictor of future firm-specific volatility. Our results suggest that, far from being “cheap talk,” managerial textual content is informative about firm fundamentals and is priced by the market. Importantly, the documented relations between earnings and textual content variables suggest that theoretical models may need to relax their assumptions regarding the independence of simultaneously released signals. |
| 相關連結： | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1152326 |
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