The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcements
研究电话会议是否加速分析师和投资者对当前盈余公告未来含义的反应，发现电话会议启动显著降低了分析师预测误差的序列相关性（初始反应不足）和两种投资者反应不足指标（盈余公告后漂移及延迟反应比例），且漂移减少集中在漂移最严重的小公司。
I extend prior research on the information content of conference calls by examining whether they accelerate analysts' and investors' responses to the future implications of currently announced earnings. I find that the initiation of conference calls is associated with a significant reduction in the serial correlation in analyst forecast errors, a measure of initial analyst underreaction. I also find that the initiation of conference calls is associated with significant reductions in two measures of initial investor underreaction: (1) post-earnings announcement drift and (2) the proportion of the total market reaction to firms' earnings announcements that is “delayed” (i.e., that is attributable to post-earnings announcement drift). The reduction in post-earnings announcement drift surrounding conference call initiation is concentrated in the set of sample firms where drift is most severe (i.e., the smallest, least heavily traded sample firms) while the largest, most heavily traded sample firms do not exhibit significant drift either before or after conference call initiation. Robustness tests, including analyses of matched samples of nonconference call firms, indicate that the results are not driven by general increases in analyst and investor sophistication over time or by contemporaneous increases in the information and trading environments of conference call initiators.