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January 30, 2010 | History

Soft information in earnings announcements 1 edition

Soft information in earnings announcements
Elizabeth Demers

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Soft information in earnings announcements
news or noise?
Elizabeth Demers and Clara Vega.

Published 2008 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"This paper examines whether the "soft" information contained in the text of management's quarterly earnings press releases is incrementally informative over the company's reported "hard" earnings news. We use Diction, a textual-analysis program, to extract various dimensions of managerial net optimism from more than 20,000 corporate earnings announcements over the period 1998 to 2006 and document that unanticipated net optimism in managers' language affects announcement period abnormal returns and predicts post-earnings announcement drift. We find that it takes longer for the market to understand the implications of soft information than those of hard information. We also find that the market response varies by firm size, turnover, media and analyst coverage, and the extent to which the standard accounting model captures the underlying economics of the firm. We also show that the second moment of soft information, the level of certainty in the text, is an important determinant of contemporaneous idiosyncratic volatility, and it predicts future idiosyncratic volatility"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
International finance discussion papers -- no. 951, International finance discussion papers (Online) -- no. 951.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23557766M
LC Control Number
2009656121

History

Download catalog record: RDF / JSON
January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page