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http://arks.princeton.edu/ark:/88435/dsp01r207ts06m
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DC Field | Value | Language |
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dc.contributor.advisor | Kleven, Henrik | - |
dc.contributor.author | Ulene, Ben | - |
dc.date.accessioned | 2018-08-03T15:19:48Z | - |
dc.date.available | 2018-08-03T15:19:48Z | - |
dc.date.created | 2018-04-10 | - |
dc.date.issued | 2018-08-03 | - |
dc.identifier.uri | http://arks.princeton.edu/ark:/88435/dsp01r207ts06m | - |
dc.description.abstract | The media and financial community often rely on “earnings surprise” – the difference between company performance and the average of financial analysts’ forecasts – to summarize the manner in which earnings reports provide the market with new, unexpected information. Prior studies have found such a metric to exhibit a host of flaws, however, suggesting there may be a place for an alternative way to think about how quarterly earnings and investor expectations interact. In this study, I seek to shift the focus from numerical earnings figures to linguistic analyses of textual statements from both investors and management. I define an alternative metric called the “Reality Check” as the difference between the management sentiment as expressed on earnings conference calls and investor sentiment as expressed on Twitter – each of which has been found in prior studies to correlate with stock market moves. Using a sample of over 4,500 earnings reports from 490 companies, I test whether this metric can predict market reactions to earnings, finding it to have statistically significant predictive power for both short-term stock returns and stock price movements in the 15-day window before and after earnings. Despite this finding, the metric exhibits worse predictive power than traditional consensus-based earnings surprise when modeled independently and only adds a slight amount of predictive power when modeled together. This suggests that significant improvements would be required before such a metric could merit a place next to consensus-based forecasts when evaluating earnings reports. | en_US |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | en_US |
dc.title | Reality Check: A Linguistic Analysis-Based Redefinition of Quarterly Earnings Surprise | en_US |
dc.type | Princeton University Senior Theses | - |
pu.date.classyear | 2018 | en_US |
pu.department | Economics | en_US |
pu.pdf.coverpage | SeniorThesisCoverPage | - |
pu.contributor.authorid | 960956826 | - |
pu.certificate | Applications of Computing Program | en_US |
pu.certificate | Finance Program | en_US |
Appears in Collections: | Economics, 1927-2020 |
Files in This Item:
File | Description | Size | Format | |
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ULENE-BEN-THESIS.pdf | 6.66 MB | Adobe PDF | Request a copy |
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