We investigate the type of information text sentiment uncovers using earnings conference call transcripts and find that text sentiment fails to explain returns during intraday calls, while average trading volume and return volatility are higher during the call. This finding indicates that...

Although there is wide recognition of the negative consequences of policy volatility for countries' long-term economic growth, there is limited empirical work on this subject. One of the reasons is the difficulty of measuring policy volatility over long periods of time, especially in developing...

We construct a new numerical measure of earnings announcement surprises, standardized unexpected earnings call text (SUE.txt), that does not explicitly incorporate the reported earnings value. SUE.txt generates a text-based post-earnings announcement drift (PEAD.txt) larger than the classic PEAD...