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PEAD.txt: Post-Earnings-Announcement Drift Using Text

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  • Meursault, Vitaly
  • Liang, Pierre Jinghong
  • Routledge, Bryan R.
  • Scanlon, Madeline Marco

Abstract

We construct a new numerical measure of earnings announcement surprises, standardized unexpected earnings call text (SUE.txt), that does not explicitly incorporate the reported earnings value. SUE.txt generates a text-based post-earnings-announcement drift (PEAD.txt) larger than the classic PEAD. The magnitude of PEAD.txt is considerable even in recent years when the classic PEAD is close to 0. We explore our text-based empirical model to show that the calls’ news content is about details behind the earnings number and the fundamentals of the firm.

Suggested Citation

  • Meursault, Vitaly & Liang, Pierre Jinghong & Routledge, Bryan R. & Scanlon, Madeline Marco, 2023. "PEAD.txt: Post-Earnings-Announcement Drift Using Text," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(6), pages 2299-2326, September.
    • Handle: RePEc:cup:jfinqa:v:58:y:2023:i:6:p:2299-2326_1
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