Levels versus changes: Information contents of textual information

Kotaro Miwa

International Review of Finance, 2022, vol. 22, issue 4, 751-758

Abstract: We clarify the information value of changes in the textual information of analyst reports. The analyses reveal that stock prices react considerably to changes in the linguistic tone of reports. In addition, prices react asymmetrically to the levels and changes of report tone, overreact to the levels, and underreact to changes. Our evidence suggests that a change in the textual tone provides incremental information that investors overlook, supporting the informational value of changes in textual information.

Date: 2022
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International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman

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