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20220109_吕漫妮_论文展示1
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2022-08-03
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Using LM financial word dictionaries, we derive the sentiment toneconveyed by (1
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Who Listens to Corporate Conference Calls?
The Effect of “Soft Information” on Institutional Trading
Alan G. Huang, Russell R. Wermers
AFA 2022 Meeting
Lv Manni
2022.1.9
Contents
• Introduction
• Background & Motivation
• Research Problem
• Contribution
• Data & Model Design
• Empirical Results
• Conclusion
2022/1/9
Lv Manni
2
Backgrounds & Motivation
• A longstanding issue in finance is how information becomes
incorporated into stock prices. In the wake of Regulation Fair
Disclosure, an increasing literature has focused on public sources of
information through which price discovery can plausibly occur.
• It is much less clear how so-called “soft information” (especially for
conference calls) becomes incorporated into stock prices and is
traded by institutional investors.
• Conference calls are the only forum through which call attendees
(generally buy- and sell-side analysts) can directly and immediately
interact in a public forum.
➢ We want to examine whether, and how, institutional investors interpret
and trade on conference call sentiment.
2022/1/9 3
Lv Manni
Research Problem
• Whether institutional investors trade on conference call sentiment?
➢ Using LM financial word dictionaries, we derive the sentiment tone
conveyed by (1) presentation, (2) questions, and (3) answers.
➢ We find that institutions react to the “net negative tone” of a
conference call through changes in their subsequent quarterly
holdings.
• How to interpret?
➢ We find that conference call tone predicts short- and longer-term
returns, from the conference call day through the next 30 trading
days, which has a reinforcing effect on the quarterly change in
institutional ownership.
➢ We show that the tone of conference calls leads to analyst stock
recommendation updates (a potential mechanism).
2022/1/9 4
Lv Manni
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