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- W2216756697 abstract "This paper explores whether price relevant information contained in managerial commentary released concurrently with the earnings announcements are fully reflected in stock prices. Efficient Markets theory predicts that such information should be instantly and fully reflected in the price. We collect earnings announcement files from four news providers (Businesswire, PR Newswire, Marketwire and Globe Newswire). We analyse both quantitative and qualitative information contained in these. We use a natural language processing method to extract a numerical score of the sentiment (i.e. the positivity or negativity) of text-based stories. We interpret these scores as instantaneous buy/hold/sell signal for the stock to which the story relates. We find that the market fails to fully impound the information contained in the managerial commentary during the first 60 minutes of the release, however, the stock prices adjust to reflect this added information during the next trading session and beyond. We further document that different industry groups react differently to sentiment in managerial comment." @default.
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- W2216756697 date "2011-01-01" @default.
- W2216756697 modified "2023-09-25" @default.
- W2216756697 title "Post-Earnings Price Adjustment Vary Across Market Sectors: The Role of Sentiment" @default.
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- W2216756697 doi "https://doi.org/10.2139/ssrn.1855338" @default.
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