Information transfer and conference calls
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.
KeywordsConference calls Information transfer Intra-day TAQ Information intermediaries
JEL codesD83 M41
We appreciate the helpful comments of Robert Battalio, Pietro Bonetti (discussant), Theodore Christensen, Paul Fischer, Peter Joos, Michael Jung, Marina Niessner, Richard Sloan (editor), Jacob Thomas, Benjamin Whipple (discussant), two anonymous reviewers, and workshop participants at Bentley University, Bocconi University, Florida Atlantic University, George Washington University, North Carolina State University, McGill University, the 2017 Review of Accounting Studies conference, Southern Methodist University, Tel Aviv University, Temple University, Texas A&M University, the 2015 UNC-Duke Fall Camp, University of Alberta, University of Connecticut, University of Nebraska, the 2015 Yale SOM Summer Research Conference, and the 2015 American Accounting Association Annual Meeting. We appreciate the excellent research assistance of Alex Garland, Jake Hall, Thao Phuong Nguyen, and Portia Schultz. We thank RavenPack for providing media data. All errors are ours.
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