Market reaction to the tones of earnings conference calls
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Abstract
This study analyzes the different tones used by the participants in earnings conference calls and the influence on the generation of abnormal stock returns. This study fills the research gap of the segregation of tone analysis by type of analyst and corporate administratives during earnings conference calls. The sample covered the period from 2010 to 2017, totaling 1165 earnings conference calls transcripts from 44 Brazilian companies listed in B3 - Brasil, Bolsa, Balcão. The main finding is that the transcribed tone and words based on the Loughran & McDonald (2011) dictionary, have significant predictive power over stock market reactions after earnings conference calls.
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