TY  - RPRT
A1  - Bannier, Christina E.
A1  - Pauls, Thomas
A1  - Walter, Andreas
T1  - CEO-speeches and stock returns
N2  - 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 volume around the AGM. By adapting a finance-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 around the AGM. Investors hence seem to perceive the sentiment of CEO speeches at AGMs as a valuable indicator of future firm performance. Our results are robust against different weighting schemes and our dictionary appears to be better suited to grasp the sentiment of German business documents compared to general dictionaries.
KW  - Textual sentiment
KW  - CEO speeches
KW  - Market efficiency
KW  - Textual analysis
KW  - Annual general meeting
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43878
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438782
IS  - April 2017
SP  - 1
EP  - 47
ER  -