PEAD.txt: Post-Earnings-Announcement Drift Using Text.
In: Journal of Financial & Quantitative Analysis, Jg. 58 (2023-09-01), Heft 6, S. 2299-2326
academicJournal
Zugriff:
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. The magnitude of PEAD.txt is considerable even in recent years when the classic PEAD is close to 0. We explore our text-based empirical model to show that the calls' news content is about details behind the earnings number and the fundamentals of the firm. [ABSTRACT FROM AUTHOR]
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PEAD.txt: Post-Earnings-Announcement Drift Using Text.
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Autor/in / Beteiligte Person: | Meursault, Vitaly ; Liang, Pierre Jinghong ; Routledge, Bryan R. ; Scanlon, Madeline Marco |
Zeitschrift: | Journal of Financial & Quantitative Analysis, Jg. 58 (2023-09-01), Heft 6, S. 2299-2326 |
Veröffentlichung: | 2023 |
Medientyp: | academicJournal |
ISSN: | 0022-1090 (print) |
DOI: | 10.1017/S0022109022001181 |
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