臺灣博碩士論文加值系統

法說會作為企業與市場溝通的重要橋樑，除了量化的企業財務數據外，與會者在會議中所展現出的質性資訊亦蘊含高度價值。故，本文以美國S&P 500企業作為樣本，以法說會與會者之語調情緒作為研究因子，探討不同環節、不同角色在法說會中所展現的情緒差異是否影響短期股價報酬。相較過往研究曾關注法說會參與者之個體（如公司管理層、外部分析師）靜態情緒分析，本文更著重於各參與角色在對話中展現出的情緒動態差異對市場的影響性。於此，此研究的主要發現為：法說會「問答環節分析師提問段落」與「公司報告環節」之情緒變動與個股股價表現呈現正相關，當分析師情緒呈現下滑情形時，股價隨之下跌，有效減弱公司管理層過度美化的報告影響力。進一步將此結果進行剖析，則得出兩項發現：首先，高機構投資人佔比的個股展現出更高相關性；再者，當分析師在法說會中參與程度越踴躍時，此正向相關程度亦更為明顯，意即分析師情緒相較報告環節下降越多，股價跌落幅度越深。

Earnings calls serve as a crucial bridge for communication between corporations and the market. Beyond quantitative financial data, the qualitative information exhibited by participants during these meetings also holds significant value. Thus, this paper uses the S&P 500 companies as samples and examines the tone of participants during earnings calls as research variables. It explores whether the tone gaps displayed by different roles and in different segments of the earnings call impact short-term stock returns. Unlike previous studies that focused on static tone analysis of individual participants (such as corporate managers and analysts), this paper emphasizes the differences in tone dynamics exhibited by various roles during the dialogue and their market impact. The main findings of this research are as follows: The tone difference between 'analyst question' and 'corporate reporting' of the earnings calls shows a positive correlation with the performance of individual stock prices. When analysts’ tones decline, stock prices tend to fall, effectively reducing the impact of overly optimistic reports from corporate managers. Further analysis of these results reveals two findings: First, stocks with a higher proportion of institutional investors show a stronger correlation; second, the more active the analysts' participation in the earnings calls, the more pronounced this positive correlation, meaning that the more analysts’ tones drop compared to the reporting, the deeper the stock price fall.

第一章 研究動機與貢獻 1
第一節 研究動機 1
第二節 研究發現 3
第三節 研究貢獻 4

第二章 研究方法 6
第一節 自然語言處理 6
第二節 法說會文本處理 8
第三節 情緒分數計算方式 9
第四節 實證分析架構 11

第三章 資料描述 13

第四章 實證分析結果 16
第一節 敘述統計 16
第二節 實證分析結果 20

第五章 延伸分析結果 29
第一節 專業投資人關注程度情境分析 29
第二節 法說會分析師參與程度情境分析 37

第六章 結論與展望 44

第七章 參考文獻 47

第八章 附錄 51

Blau, Benjamin M., Jared DeLisle, & S. McKay Price (2015). Do sophisticated investors interpret earnings conference call tone differently than investors at large? : evidence from short sales. Journal of Corporate Finance, 31, 203-219.
Bochkay, Khrystyna, Jeffrey Hales, & Sudheer Chava (2020). Hyperbole or reality? Investor response to extreme language in earnings conference calls. The Accounting Review, 95(2), 31–60.
Bowen, Robert M., Angela K. Davis, & Dawn A. Matsumoto (2002). Do conference calls affect analysts' forecasts?. The Accounting Review, 77(2), 285-316.
Brochet, Francois, Kalin S. Kolev, & Alina Lerman (2018). Information transfer and conference calls. Review of Accounting Studies, 23, 907–957.
Brockman, Paul, Xu Li, & S. Mckay Price (2015). Differences in conference call tones: managers versus analysts. Financial Analysts Journal, 71, 24-42.
Call, Andrew C., Rachel W. Flam, Joshua A. Lee, & Nathan Y. Sharp (2023). Managers’ use of humor on public earnings conference calls. Review of Accounting Studies, Accepted/In press.
Chen, Jason V., Venky Nagar, & Jordan Schoenfeld (2018). Manager-analyst conversations in earnings conference calls. Review of Accounting Studies, 23, 1315-1354.
Cohen, Lauren, Dong Lou, & Christopher J. Malloy (2019). Playing favorites: How firms prevent the revelation of bad news. Working paper.
Davis, Angela K., Jeremy M. Piger, & Lisa M. Sedor (2012). Beyond the numbers: Measuring the information content of earnings press release language. Contemporary Accounting Research, 29(3), 845-868.
Demers, Elizabeth A. & Clara Vega (2010). Soft information in earnings announcements: News or noise?. Working paper.
Druz, Marina, Ivan Petzev, & Alexander F. Wagner (2020). When managers change their tone, analysts and investors change their tune. Financial Analysts Journal, 76(2), 47-69.
Dzieliński, Michał, Alexander F. Wagner, & Richard J. Zeckhauser (2023). Straight talkers and vague talkers: The effects of managerial style in earnings conference calls. Working paper.
Engelberg, Joseph (2008). Costly information processing: Evidence from earnings Announcements. University of North Carolina working paper.
Feldman, Ronen, Suresh Govindaraj, Joshua Livnat, & Benjamin Segal (2009). Management's tone change, post earnings announcement drift and accruals. Review of Accounting Studies, 15, 915-953.
Frankel, Richard M, Marylin F. Johnson, & Douglas J. Skinner (1999). An empirical examination of conference calls as a voluntary disclosure medium. Journal of Accounting Research, 37, 133-150.
Gow, Ian D., David F. Larcker, & Anastasia A. Zakolyukina (2021). Non-answers during conference calls. Journal of Accounting Research, 59(4), 1349-1384.
Heinrichs, Anne, Jihwon Park, & Eugene F. Soltes (2019). Who consumes firm disclosures? Evidence from earnings conference calls. The Accounting Review, 94(3), 205-231.
Hollander, Stephen, Maarten Pronk, & Erik Roelofsen (2010). Does silence speak? An empirical analysis of disclosure choices during conference calls. Journal of Accounting Research, 48, 531-563.
Huang, Allen H., Hui Wang, Yi Yang (2023). FinBERT: A large language model for extracting information from financial text. Contemporary Accounting Research, 40(2), 806-841.
Huang, Allen H., Reuven Lehavy, Amy Y. Zang, & Rong Zheng (2018). Analyst information discovery and interpretation roles: A topic modeling approach.  Management Science, 64(6), 2473-2972.
Huang, Xuan, Siew Hong Teoh, & Yinglei Zhang (2014). Tone management. The Accounting Review, 89(3), 1083-1113.
Kimbrough, Michael D. (2005). The effect of conference calls on analyst and market underreaction to earnings announcements. The Accounting Review, 80(1), 189-219.
Larcker, David F., & Anastasia A. Zakolyukina (2012). Detecting deceptive discussions in conference calls. Journal of Accounting Research, 50, 495-540.
Lee, Joshua (2016). Can investors detect managers’ lack of spontaneity? Adherence to predetermined scripts during earnings conference calls. The Accounting Review, 91(1), 229-250.
Loughran, Tim, & Bill Mcdonald (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. Journal of Finance, 66, 35-65.
Matsumoto, Dawn, Maarten Pronk, & Erik Roelofsen (2011). What makes conference calls useful? The information content of managers’ presentations and analysts’ discussion sessions. The Accounting Review, 86(4), 1383-1414.
Mayew, William J., Nathan Y. Sharp, & Mohan Venkatachalam (2013). Using earnings conference calls to identify analysts with superior private information. Review of Accounting Studies, 18, 86–413.
Price, S., James Doran, David R. Peterson, & Barbara A. Bliss (2012). Earnings conference calls and stock returns: The incremental informativeness of textual tone. Journal of Banking and Finance, 36, 992-1011.
Suslava, Kate (2021). Stiff business headwinds and uncharted economic waters: The use of euphemisms in earnings conference calls. Management Science, 67(11), 6629-7289.
Tetlock, Paul C. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139-1168.
Tetlock, Paul C., Maytal Saar-Tsechansky, & Sofus Macskassy (2008). More than words: Quantifying language to measure firms’ fundamentals. Journal of Finance, 63(3), 1437-1467.