Does managerial tone matter for stock liquidity? Evidence from textual disclosures

Man Dang (), Premkanth Puwanenthiren, Manh Toan Nguyen, Viet Anh Hoang, Mieszko Mazur and Darren Henry

Finance Research Letters, 2022, vol. 48, issue C

Abstract: This study investigates the effect of managerial tone on stock liquidity using a sample of U.S.-listed firms over the 1994–2019 period. We find that firms with SEC filings exhibiting more positive managerial tone experience higher stock liquidity. Our findings remain unchanged after controlling for firm fixed effects, investor sentiment, firm size differences and using alternative variable approaches. Further, we identify that the relationship is less pronounced during times of high policy uncertainty measured by EPU and presidential elections. Overall, this paper provides evidence that the management tone in SEC filings has price discovery and efficiency implications for investor trading decisions.

Keywords: Management tone; Textual disclosures; Stock liquidity; Policy uncertainty (search for similar items in EconPapers)
JEL-codes: G12 G14 G32 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200188x

DOI: 10.1016/j.frl.2022.102917

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