CEO-speeches and stock returns

We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute onl
We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors’ decision-making. Surprisingly, however, we observe from the transcripts of 338 CEO speeches of German corporates between 2008 and 2016 that their sentiment is significantly related to abnormal stock returns and trading volumes following the AGM. Using a novel business-specific German dictionary based on Loughran and McDonald (2011), we find a negative association of the post-AGM returns with the speeches’ negativity and a positive association with the speeches’ relative positivity (i.e. positivity relative to negativity). Relative positivity moreover corresponds with a lower trading volume in a short time window surrounding the AGM. Investors hence seem to perceive the sentiment of CEO speeches at AGMs as a valuable indicator of future firm performance.
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Metadaten
Author:Christina E. Bannier, Thomas Pauls, Andreas Walter
URN:urn:nbn:de:hebis:30:3-438693
URL:https://ssrn.com/abstract=3051151
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 583
Series (Serial Number):CFS working paper series (583)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2017
Year of first Publication:2017
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2017/10/17
Tag:Annual General Meeting; CEO Speeches; Market Efficiency; Textual Analysis; Textual Sentiment
Issue:October 11, 2017
Pagenumber:50
HeBIS PPN:419143440
Institutes:Wirtschaftswissenschaften
Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:G12 Asset Pricing; Trading volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies
G02
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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