Title page for ETD etd-05012012-131119


Type of Document Dissertation
Author Penner, James William
Author's Email Address pennerja@vt.edu
URN etd-05012012-131119
Title Textual Analysis of Management Tone during Conference Calls and the Impact on Capital Markets
Degree PhD
Department Accounting and Information Systems
Advisory Committee
Advisor Name Title
Fan, Weiguo Patrick Committee Chair
Brown, Robert M. Committee Member
Cloyd, C. Bryan Committee Member
Ince, Ozgur S. Committee Member
Maher, John J. Committee Member
Keywords
  • Conference Call
  • Tone
  • Analyst Accuracy
Date of Defense 2012-04-27
Availability restricted
Abstract
This study examines the tone of management disclosures and their impact on capital markets. In particular, I examine the positive and negative tone, as defined by the Harvard IV-4 Dictionary, during conference calls and the impact on analyst accuracy, dispersion of analysts’ estimates, cumulative abnormal returns, abnormal trading volumes, and the number of days after the end of the quarter. Results indicate that pessimism is significantly related to decreased analyst accuracy. A one percent increase in the pessimism of a conference call results in a decrease in analyst accuracy by approximately 10%. In addition, an increase in pessimism is associated with an increase in the dispersion of analysts’ estimates. Pessimism is related to negative abnormal returns in the 30 days after the end of the conference call and also to increased trading volume in the three days after the conference call. A one percent increase in the pessimism of a conference call is related to a negative abnormal return of approximately .4%. These findings are consistent with the theory that the positive and negative tone of a conference call provides incremental information to the capital markets. I am unable to find significant results for an increase in the number of days between the end of the quarter and the conference call date. These results are robust to using a more financially oriented dictionary created by Loughran and McDonald (2011)
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