Conference Calls and Stock Price Volatility – A Content Analysis Approach

• Main Authors: Wu, Yi Hui, 吳怡慧
• Other Authors: 諶家蘭
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/61476560281166375885

碩士 === 國立政治大學 === 會計研究所 === 103 === This study focuses on the relationship between news content of conference calls and stock price volatility for TWSE corporations and GTSM corporations. Recently, conference calls have been a useful tool for companies to transmit information to the public, and management can communicate with analysts and investors face to face so as to reduce information asymmetry. Past literatures have proved that companies held conference calls can reduce information asymmetry, and have an impact on stock market. Our sample contains companies including listed in a Taiwan Stock Exchange companies and listed in Over-the-Counter companies that holding their conference calls on March during five-year period 2010-2014. Referring to past literature, this study builds rules of scoring to read the news of conference calls and use dictionary to objectively count the positive words and negative words in the news. This study’s hypothesis are that (1) the less of the SCORE and TONE the more stock price volatility will produce (2) the more QUANTITY of news, the more stock price volatility will produce. We use ordinary least squares regression to test hypothesis. The empirical results show that there is a significantly negative relation between scores (SCORE) of news content and stock price volatility and there is a negative relation between negative tone (TONE) of news and stock price volatility. In addition，there is a significantly positive relation between quantity (QUANTITY) of news and stock price volatility.