PEAD.txt: Post-Earnings-Announcement Drift Using Text
构建了一个不依赖报告盈余数值的文本指标SUE.txt，发现基于该指标的盈余公告后漂移（PEAD.txt）大于传统PEAD，且近年传统PEAD接近零时该效应仍显著，表明电话会议文本提供了盈余数字背后的细节和公司基本面信息。
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.