極端事件下企業法說會與財報之情緒對報酬之影響：以美國股票市場為例

Abstract

2020年在COVID-19疫情下，企業營運模式產生巨變，企業在紛紛在Earnings Call與財報中表現出不同情緒。鑑往知來，本研究透過建立關注程度、情緒與風險三種測量，衡量過去歷史上不同極端事件下，上述三種測量對於報酬的影響，並進一步使用TextBlob測量主觀性，探討Earnings Call與10-Q、10-K財報主觀性差異是否可以解釋兩者之間的情緒差異。實證結果發現，Earnings Call逐字稿與10-Q、10-K文稿之關注程度對於報酬有負向影響，但依事件性質有所不同，對於2008金融危機而言，企業長期關注經濟議題，將有較高的報酬。Earnings Call逐字稿情緒對於長短期報酬皆有正向顯著關係，並由負向情緒貢獻，顯示極端事件下情緒越負面、報酬越低，但此結果在10-Q、10-K文稿中較不明顯。相較於Earnings Call逐字稿，10-Q、10-K文本之風險對於報酬有較強烈的負向顯著關係，說明因為企業充分在財報中揭露營運各面向的風險，故10-Q、10-K文本所表現出的風險對於長短期報酬有顯著負面的影響。同時我們發現，911恐怖攻擊對於風險有最強烈的負向顯著關係，凸顯企業對於危及國家安全的事件風險敏感性高。最後，當Earnings Call比10-Q、10-K越主觀，Earnings Call的情緒就比10-Q、10-K的情緒越負面，且主觀性差異能確實解釋Earnings Call與10-Q、10-K財報樣本的情緒差異。

Under the impact of COVID-19, companies express different sentiments in earnings calls and financial reports. In this thesis, I construct the concern measure, sentiment measure, and risk measure to explore how text information in financial documents affects stock returns under different extreme events. Furthermore, I construct the subjectivity measure to explain the sentiment difference between earnings calls and financial reports. Empirical results show that the text information plays an important role. First, concern measures of earnings call and financial reports are both significantly negatively related to returns, but still different in specular extreme events. Second, companies with more depressed sentiment in earnings call will have lower returns. However, this relationship is not significant enough in financial reports. Third, the risk measure of financial reports is negatively related to returns, which is stronger than that of earnings call, since companies expose more aspects of risk in financial reports. Last, when earnings call is more subjective than financial reports, the sentiment of earnings call is more negative. I also find that the subjectivity difference between earnings call and financial reports can explain sentiment difference indeed.