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Earnings conference calls and information asymmetry among investors: the effect of heterogeneity in analyst questions
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Resumo(s)
We examine the association between heterogeneity in analysts' questions during earnings conference calls (ECCs) and investor information asymmetry. Using a dataset of U.S. ECC transcripts from 2007 to 2020, we construct five measures of question heterogeneity capturing variation in the volume of questions, analysts' tone, thematic diversity, linguistic dissimilarity, and analyst turnover. Greater question heterogeneity is associated with higher unexplained trading volume, our proxy for investor information asymmetry. We attribute this to increased information processing costs, allowing investors with higher processing ability to transform public information into private advantages. Consistently, the association between analyst question heterogeneity and investor disagreement grows when processing burdens are higher, such as following negative earnings surprises or in firms with low institutional ownership. Conversely, it weakens when analysts revise forecasts positively in real time and when managers address a broader range of topics or engage in casting analyst participation. Our analyses control for firm-, analyst-, and call-level characteristics, including lagged unexplained trading volume; our main findings are robust to alternative specifications and are not readily explained by the alternative mechanisms we test. Our results highlight the complex role of analyst interactions during ECCs and suggest that more heterogeneous questions, while informative, can also exacerbate disparities in investor interpretation.
Descrição
Palavras-chave
Analyst heterogeneity Earnings conference call Information asymmetry Information processing costs Textual analysis
Contexto Educativo
Citação
Editora
Routledge