"Let Me Get Back to You" — A Machine Learning Approach to Measuring NonAnswers
Andreas Barth, Sasan Mansouri, Fabian Wöbbeking
Management Science,
No. 10,
2023
Abstract
Using a supervised machine learning framework on a large training set of questions and answers, we identify 1,364 trigrams that signal nonanswers in earnings call questions and answers (Q&A). We show that this glossary has economic relevance by applying it to contemporaneous stock market reactions after earnings calls. Our findings suggest that obstructing the flow of information leads to significantly lower cumulative abnormal stock returns and higher implied volatility. As both our method and glossary are free of financial context, we believe that the measure is applicable to other fields with a Q&A setup outside the contextual domain of financial earnings conference calls.
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Herding Behavior and Systemic Risk in Global Stock Markets
Iftekhar Hasan, Radu Tunaru, Davide Vioto
Journal of Empirical Finance,
September
2023
Abstract
This paper provides new evidence of herding due to non- and fundamental information in global equity markets. Using quantile regressions applied to daily data for 33 countries, we investigate herding during the Eurozone crisis, China’s market crash in 2015–2016, in the aftermath of the Brexit vote and during the Covid-19 Pandemic. We find significant evidence of herding driven by non-fundamental information in case of negative tail market conditions for most countries. This study also investigates the relationship between herding and systemic risk, suggesting that herding due to fundamentals increases when systemic risk increases more than when driven by non-fundamentals. Granger causality tests and Johansen’s vector error-correction model provide solid empirical evidence of a strong interrelationship between herding and systemic risk, entailing that herding behavior may be an ex-ante aspect of systemic risk, with a more relevant role played by herding based on fundamental information in increasing systemic risk.
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Productivity: More with Less by Better Available resources are scarce. To sustain our society's income and living standards in a world with ecological and demographic change, we…
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Macro Data Download On this page, you will find long time series of macroeconomic data provided by IWH for download. Please note that most files come with labels and legends in…
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Financial Systems: The Anatomy of the Market Economy How the financial system is constructed, how it works, how to keep it fit and what good a bit of chocolate can do. Dossier In…
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Data Protection Policy We take the protection of your personal data very seriously and treat your personal data with confidentiality and in compliance with the provisions of law…
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IWH Construction Survey From 1993 until the first quarter of 2017, the IWH conducted regular surveys among companies. The results of these surveys could be used to promptly…
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