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Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...
Persistent link: https://www.econbiz.de/10013116023
Using computer based content analysis, we quantify the linguistic tone of quarterly earnings conference calls for publicly traded Real Estate Investment Trusts (REITs). After controlling for the earnings announcement, we examine the relation between conference call tone and the contemporaneous...
Persistent link: https://www.econbiz.de/10013116025
Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross‐sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers,...
Persistent link: https://www.econbiz.de/10011197223
Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and are...
Persistent link: https://www.econbiz.de/10011197591
Since the 1987 crash, option prices have exhibited a strong negative skew, implying higher implied volatility for out‐of‐the‐money puts than at‐ and in‐the‐money puts. This has resulted in incorporating multiple jumps and stochastic volatility within the data generating process to...
Persistent link: https://www.econbiz.de/10011197904
We examine the determinants of foreign real estate investment relative to the domestic case using the portfolios of a large sample of publicly traded real estate investment companies; where foreign investment is defined as the property owner headquarters being located in a different country than...
Persistent link: https://www.econbiz.de/10012973052
We study the relations between governance mechanisms (internal and external), conference call voluntary disclosures (incidence and length), and CEO compensation using hand-collected data on conference calls, corporate governance, and compensation. We hypothesize and show that institutions push...
Persistent link: https://www.econbiz.de/10012974636
We examine the impact of conference call tones on the direction and magnitude of subsequent manager trades. Our univariate results show that corporate insiders buy company shares following negative-tone conference calls, and sell shares following positive-tone conference calls. This inverse call...
Persistent link: https://www.econbiz.de/10012974701
Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...
Persistent link: https://www.econbiz.de/10013036476
We develop a model for valuing U.S. real estate investment trusts (REITs) that considers the tax liability impounded in REITs' property portfolios. This liability is a function of the portfolio's accumulated depreciation and is driven by different tax rates applied to individual components of...
Persistent link: https://www.econbiz.de/10012988203