Information transfer and conference calls

Francois Brochet (), Kalin Kolev () and Alina Lerman ()
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Francois Brochet: Boston University
Kalin Kolev: Baruch College, City University of New York
Alina Lerman: University of Connecticut

Review of Accounting Studies, 2018, vol. 23, issue 3, No 4, 907-957

Abstract: Abstract A long-standing literature documents intra-industry capital market co-movements around earnings releases, yet the dynamics of these information transfers remain largely unexplored. We provide evidence on both the sources and channels of information transfers by separating two distinct events within the reporting window using intra-day data and by exploring potential mechanisms of information flows. We document that the co-movement of absolute and signed stock returns over the conference call windows of announcing firms and their industry peers are statistically and economically larger than the co-movement over the corresponding earnings announcement windows. Turning to mechanisms, we find that shared analyst coverage, coverage by analysts providing industry recommendations, shared institutional ownership, and joint financial media mentions are each individually and incrementally associated with higher rate of information transfer over both the earnings announcement and conference call windows. Textual analyses reveal that peer mentions and macroeconomic discussions both significantly contribute to conference call information transfers.

Keywords: Conference calls; Information transfer; Intra-day; TAQ; Information intermediaries; D83; M41 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s11142-018-9444-4

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