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題名 法人說明會與股票價格波動性之關聯性研究– 以內容分析為例
Conference Calls and Stock Price Volatility – A Content Analysis Approach
作者 吳怡慧
Wu, Yi Hui
貢獻者 諶家蘭
吳怡慧
Wu, Yi Hui
關鍵詞 法人說明會
內容分析法
股價波動性
新聞
Conference call
Content Analysis
Stock volatility
News
日期 2015
上傳時間 27-Jul-2015 11:21:01 (UTC+8)
摘要 本研究主要探討公司召開法人說明會(Conference Calls)時，經由媒體報導後，其新聞內容與股價波動性(Stock Price Volatility)之關聯性探討。近年來，法人說明會已逐漸成為公司傳達資訊的重要管道，藉由法人說明會企業可以完整說明公司資訊，投資人、分析師等也可直接與管理階層互動；文獻指出公司召開法人說明會可以減少管理階層與投資人之資訊不對稱，進而影響投資人於股票市場之交易之決策。
本研究以國內上市櫃公司有召開法人說明會為研究對象，樣本期間為2010至2014年每年的三月份。本研究參考過去文獻及書籍，建立判讀公司法人說明會新聞之分數規則(Rules of Scoring)，衡量法人說明會新聞之內容，並以客觀量化之方式計算新聞內正向字詞與負向字詞。本研究假設法人說明會新聞之分數(SCORE)越正向，股價波動性越小；法人說明會新聞報導帶給投資人之情緒(TONE)越正向，股價波動性越小；法人說明會新聞數量(QUANTITY)越多，股價波動性越大，並以迴歸分析檢測假說。
研究結果顯示，法人說明會之新聞內容分數(SCORE)和股價波動性呈現顯著負相關，投資人之情緒(TONE)與股價波動性具負向關係，法人說明會新聞之數量(QUANTITY)與股價波動性具有顯著正相關。研究結果顯示公司召開法人說明會之媒體報導的新聞內容與股價波動性之關聯性。
This study focuses on the relationship between news content of conference calls and stock price volatility for TWSE corporations and GTSM corporations. Recently, conference calls have been a useful tool for companies to transmit information to the public, and management can communicate with analysts and investors face to face so as to reduce information asymmetry. Past literatures have proved that companies held conference calls can reduce information asymmetry, and have an impact on stock market.
Our sample contains companies including listed in a Taiwan Stock Exchange companies and listed in Over-the-Counter companies that holding their conference calls on March during five-year period 2010-2014. Referring to past literature, this study builds rules of scoring to read the news of conference calls and use dictionary to objectively count the positive words and negative words in the news. This study’s hypothesis are that (1) the less of the SCORE and TONE the more stock price volatility will produce (2) the more QUANTITY of news, the more stock price volatility will produce. We use ordinary least squares regression to test hypothesis.
The empirical results show that there is a significantly negative relation between scores (SCORE) of news content and stock price volatility and there is a negative relation between negative tone (TONE) of news and stock price volatility. In addition，there is a significantly positive relation between quantity (QUANTITY) of news and stock price volatility.
參考文獻 REFERENCES
Abarbanell, J. S., & Bernard, V. L. 1992. Tests of Analysts Overreaction Underreaction to Earnings Information as an Explanation for Anomalous Stock-Price Behavior. Journal of Finance, 47(3), 1181-1207.
Antweiler, W., & Frank, M. Z. 2004. Is all that talk just noise? The information content of Internet stock message boards. Journal of Finance, 59(3), 1259-1294.
Ball, R., & Brown, P. 1968. An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
Ball, R., & Kothari, S. P. 1991. Security Returns around Earnings Announcements. Accounting Review, 66(4), 718-738.
Barber, B. M., & Odean, T. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785-818.
Brown, S., Hillegeist, S. A., & Lo, K. 2004. Conference calls and information asymmetry. Journal of Accounting & Economics, 37(3), 343-366.
Davis, A. K., Piger, J. M., & Sedor, L. M. 2006. Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases. Federal Reserve Bank of St. Louis Working Paper Series, (2006-005).
Dell`Acqua, A., Perrini, F., & Caselli, S. 2010. Conference Calls and Stock Price Volatility in the Post-Reg FD Era. European Financial Management, 16(2), 256-270.
Demers, E., & Vega, C. 2008. Linguistic tone in earnings announcements: News or Noise?
Fama, E. F., & French, K. R. 1992. The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
Engelberg, J. E., & Parsons, C. A. 2011. The Causal Impact of Media in Financial Markets. Journal of Finance, 66(1), 67-97.
Frankel, R., Johnson, M., & Skinner, D. J. 1999. An empirical examination of conference calls as a voluntary disclosure medium. Journal of Accounting Research, 37(1), 133-150.
Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication, 45(4), 363-407.
Hirshleifer, D., & Teoh, S. H. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting & Economics, 36(1-3), 337-386.
Johnson, W. C., & Marietta-Westberg, J. 2004. The effect of news on volatility: a study of IPOs.
Kimbrough, M. D. 2005. The effect of conference calls on analyst and market underreaction to earnings announcements. Accounting Review, 80(1), 189-219.
Larcker, D. F., & Zakolyukina, A. A. 2012. Detecting deceptive discussions in conference calls. Journal of Accounting Research, 50(2), 495-540.
Li, F. 2008. Annual report readability, current earnings, and earnings persistence. Journal of Accounting & Economics, 45(2-3), 221-247.
Liu, B. 2012. Sentiment analysis and opinion mining. Synthesis Lectures on Human Language Technologies, 5(1), 1-167.
Matsumoto, D., Pronk, M., & Roelofsen, E. 2011. What Makes Conference Calls Useful? The Information Content of Managers` Presentations and Analysts` Discussion Sessions. Accounting Review, 86(4), 1383-1414.
Mayew, W. J., & Venkatachalam, M. 2012. The Power of Voice: Managerial Affective States and Future Firm Performance. Journal of Finance, 67(1), 1-43.
Mullainathan, S., & Shleifer, A. 2005. The market for news. American Economic Review, 95(4), 1031-1053.
Pang, Bo and Lillian Lee. Opinion mining and sentiment analysis. Foundations and Trends in Information Retrieval, 2008. 2(1-2): p. 1-135.
Patell, J. M., & Wolfson, M. A. 1981. The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock-Prices. Journal of Accounting Research, 19(2), 434-458.
Price, S. M., Doran, J. S., Peterson, D. R., & Bliss, B. A. 2012. Earnings conference calls and stock returns: The incremental informativeness of textual tone. Journal of Banking & Finance, 36(4), 992-1011.
Sadique, S., In, F. H., & Veeraraghavan, M. 2008. The impact of spin and tone on stock returns and volatility: Evidence from firm-issued earnings announcements and the related press coverage.
Schwert, G. W. 1990. Stock Market Volatility. Financial Analysts Journal, 46(3), 23-34-34.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139-1168.
Tetlock, P. C., Saar-Tsechansky, M., & Macskassy, S. 2008. More than words: Quantifying language to measure firms` fundamentals. Journal of Finance, 63(3), 1437-1467.
Veronesi, P. 1999. Stock market overreaction to bad news in good times: A rational expectations equilibrium model. Review of Financial Studies, 12(5), 975-1007.
描述 碩士
國立政治大學
會計研究所
102353043
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1023530432
資料類型 thesis
dc.contributor.advisor 諶家蘭zh_TW
dc.contributor.author (Authors) 吳怡慧zh_TW
dc.contributor.author (Authors) Wu, Yi Huien_US
dc.creator (作者) 吳怡慧zh_TW
dc.creator (作者) Wu, Yi Huien_US
dc.date (日期) 2015en_US
dc.date.accessioned 27-Jul-2015 11:21:01 (UTC+8)-
dc.date.available 27-Jul-2015 11:21:01 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2015 11:21:01 (UTC+8)-
dc.identifier (Other Identifiers) G1023530432en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76855-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 102353043zh_TW
dc.description.abstract (摘要) 本研究主要探討公司召開法人說明會(Conference Calls)時，經由媒體報導後，其新聞內容與股價波動性(Stock Price Volatility)之關聯性探討。近年來，法人說明會已逐漸成為公司傳達資訊的重要管道，藉由法人說明會企業可以完整說明公司資訊，投資人、分析師等也可直接與管理階層互動；文獻指出公司召開法人說明會可以減少管理階層與投資人之資訊不對稱，進而影響投資人於股票市場之交易之決策。
本研究以國內上市櫃公司有召開法人說明會為研究對象，樣本期間為2010至2014年每年的三月份。本研究參考過去文獻及書籍，建立判讀公司法人說明會新聞之分數規則(Rules of Scoring)，衡量法人說明會新聞之內容，並以客觀量化之方式計算新聞內正向字詞與負向字詞。本研究假設法人說明會新聞之分數(SCORE)越正向，股價波動性越小；法人說明會新聞報導帶給投資人之情緒(TONE)越正向，股價波動性越小；法人說明會新聞數量(QUANTITY)越多，股價波動性越大，並以迴歸分析檢測假說。
研究結果顯示，法人說明會之新聞內容分數(SCORE)和股價波動性呈現顯著負相關，投資人之情緒(TONE)與股價波動性具負向關係，法人說明會新聞之數量(QUANTITY)與股價波動性具有顯著正相關。研究結果顯示公司召開法人說明會之媒體報導的新聞內容與股價波動性之關聯性。		zh_TW
dc.description.abstract (摘要) This study focuses on the relationship between news content of conference calls and stock price volatility for TWSE corporations and GTSM corporations. Recently, conference calls have been a useful tool for companies to transmit information to the public, and management can communicate with analysts and investors face to face so as to reduce information asymmetry. Past literatures have proved that companies held conference calls can reduce information asymmetry, and have an impact on stock market.
Our sample contains companies including listed in a Taiwan Stock Exchange companies and listed in Over-the-Counter companies that holding their conference calls on March during five-year period 2010-2014. Referring to past literature, this study builds rules of scoring to read the news of conference calls and use dictionary to objectively count the positive words and negative words in the news. This study’s hypothesis are that (1) the less of the SCORE and TONE the more stock price volatility will produce (2) the more QUANTITY of news, the more stock price volatility will produce. We use ordinary least squares regression to test hypothesis.
The empirical results show that there is a significantly negative relation between scores (SCORE) of news content and stock price volatility and there is a negative relation between negative tone (TONE) of news and stock price volatility. In addition，there is a significantly positive relation between quantity (QUANTITY) of news and stock price volatility.		en_US
dc.description.tableofcontents 1. INTRODUCTION 10
1.1 RESEARCH MOTIVATION 10
1.2 RESEARCH PURPOSE 11
1.3 RESEARCH ISSUE 20
1.4 RESEARCH PROCESS 21
2. LITERATURE REVIEW 23
2.1 CONFERENCE CALLS 23
2.2 CONTENT ANALYSIS 24
2.3 STOCK PRICE VOLATILITY 27
2.4 DISCUSSION 29
3. RESEARCH METHOD 39
3.1 HYPOTHESIS DEVELOPMENT 39
3.2 DATA COLLECTION 41
3.3 RESEARCH DESIGN 47
3.4 REGRESSION MODLE 47
3.4.1 DEPENDENT VARIABLE 48
3.4.2 INDEPENDENT VARIABLE 49
3.4.3 CONTROL VARIABLE 51
4. RESEARCH RESULTS AND ANALYSIS 52
4.1 DESCRIPTIVE STATISTICS 52
4.2 EMPIRICAL RESULTS 56
5. CONCLUSION AND DISCUSSION 59
5.1RESEARCH DISCUSSION AND CONTRIBUTION 59
5.2LIMITATION AND FUTURE RESEARCH WORK 60
APPENDIX 66		zh_TW
dc.format.extent 1127479 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023530432en_US
dc.subject (關鍵詞) 法人說明會zh_TW
dc.subject (關鍵詞) 內容分析法zh_TW
dc.subject (關鍵詞) 股價波動性zh_TW
dc.subject (關鍵詞) 新聞zh_TW
dc.subject (關鍵詞) Conference callen_US
dc.subject (關鍵詞) Content Analysisen_US
dc.subject (關鍵詞) Stock volatilityen_US
dc.subject (關鍵詞) Newsen_US
dc.title (題名) 法人說明會與股票價格波動性之關聯性研究– 以內容分析為例zh_TW
dc.title (題名) Conference Calls and Stock Price Volatility – A Content Analysis Approachen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) REFERENCES
Abarbanell, J. S., & Bernard, V. L. 1992. Tests of Analysts Overreaction Underreaction to Earnings Information as an Explanation for Anomalous Stock-Price Behavior. Journal of Finance, 47(3), 1181-1207.
Antweiler, W., & Frank, M. Z. 2004. Is all that talk just noise? The information content of Internet stock message boards. Journal of Finance, 59(3), 1259-1294.
Ball, R., & Brown, P. 1968. An empirical evaluation of accounting income numbers. Journal of accounting research, 159-178.
Ball, R., & Kothari, S. P. 1991. Security Returns around Earnings Announcements. Accounting Review, 66(4), 718-738.
Barber, B. M., & Odean, T. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785-818.
Brown, S., Hillegeist, S. A., & Lo, K. 2004. Conference calls and information asymmetry. Journal of Accounting & Economics, 37(3), 343-366.
Davis, A. K., Piger, J. M., & Sedor, L. M. 2006. Beyond the numbers: An analysis of optimistic and pessimistic language in earnings press releases. Federal Reserve Bank of St. Louis Working Paper Series, (2006-005).
Dell`Acqua, A., Perrini, F., & Caselli, S. 2010. Conference Calls and Stock Price Volatility in the Post-Reg FD Era. European Financial Management, 16(2), 256-270.
Demers, E., & Vega, C. 2008. Linguistic tone in earnings announcements: News or Noise?
Fama, E. F., & French, K. R. 1992. The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
Engelberg, J. E., & Parsons, C. A. 2011. The Causal Impact of Media in Financial Markets. Journal of Finance, 66(1), 67-97.
Frankel, R., Johnson, M., & Skinner, D. J. 1999. An empirical examination of conference calls as a voluntary disclosure medium. Journal of Accounting Research, 37(1), 133-150.
Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication, 45(4), 363-407.
Hirshleifer, D., & Teoh, S. H. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting & Economics, 36(1-3), 337-386.
Johnson, W. C., & Marietta-Westberg, J. 2004. The effect of news on volatility: a study of IPOs.
Kimbrough, M. D. 2005. The effect of conference calls on analyst and market underreaction to earnings announcements. Accounting Review, 80(1), 189-219.
Larcker, D. F., & Zakolyukina, A. A. 2012. Detecting deceptive discussions in conference calls. Journal of Accounting Research, 50(2), 495-540.
Li, F. 2008. Annual report readability, current earnings, and earnings persistence. Journal of Accounting & Economics, 45(2-3), 221-247.
Liu, B. 2012. Sentiment analysis and opinion mining. Synthesis Lectures on Human Language Technologies, 5(1), 1-167.
Matsumoto, D., Pronk, M., & Roelofsen, E. 2011. What Makes Conference Calls Useful? The Information Content of Managers` Presentations and Analysts` Discussion Sessions. Accounting Review, 86(4), 1383-1414.
Mayew, W. J., & Venkatachalam, M. 2012. The Power of Voice: Managerial Affective States and Future Firm Performance. Journal of Finance, 67(1), 1-43.
Mullainathan, S., & Shleifer, A. 2005. The market for news. American Economic Review, 95(4), 1031-1053.
Pang, Bo and Lillian Lee. Opinion mining and sentiment analysis. Foundations and Trends in Information Retrieval, 2008. 2(1-2): p. 1-135.
Patell, J. M., & Wolfson, M. A. 1981. The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock-Prices. Journal of Accounting Research, 19(2), 434-458.
Price, S. M., Doran, J. S., Peterson, D. R., & Bliss, B. A. 2012. Earnings conference calls and stock returns: The incremental informativeness of textual tone. Journal of Banking & Finance, 36(4), 992-1011.
Sadique, S., In, F. H., & Veeraraghavan, M. 2008. The impact of spin and tone on stock returns and volatility: Evidence from firm-issued earnings announcements and the related press coverage.
Schwert, G. W. 1990. Stock Market Volatility. Financial Analysts Journal, 46(3), 23-34-34.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139-1168.
Tetlock, P. C., Saar-Tsechansky, M., & Macskassy, S. 2008. More than words: Quantifying language to measure firms` fundamentals. Journal of Finance, 63(3), 1437-1467.
Veronesi, P. 1999. Stock market overreaction to bad news in good times: A rational expectations equilibrium model. Review of Financial Studies, 12(5), 975-1007.		zh_TW