The Incremental Information Content of Tone Change in Management Discussion and Analysis

S. Govindaraj, Benjamin Segal
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引用次数: 56

Abstract

This study explores whether the Management Discussion and Analysis (MD&A) section of Form 10-Q and 10-K has incremental information content beyond financial measures such as earnings surprises, accruals and operating cash flows (OCF). It uses a well-established classification scheme of words into positive and negative categories to measure the tone change in a specific MD&A section as compared to those of the prior four filings. Our results indicate that short window market reactions around the SEC filing are significantly associated with the tone of the MD&A section, even after controlling for accruals, OCF and earnings surprises. We also show that the tone of the MD&A section adds significantly to portfolio drift returns in the window of two days after the SEC filing date through one day after the subsequent quarter s preliminary earnings announcement, beyond financial information conveyed by accruals, OCF and earnings surprises. The incremental information of tone change is larger the weaker is the firm's information environment.
管理语气变化的增量信息含量探讨与分析
本研究探讨了10-Q和10-K表的管理层讨论和分析(MD&A)部分是否具有超出财务指标(如盈余意外、应计项目和经营现金流量(OCF))的增量信息内容。它使用了一个完善的分类方案,将单词分为积极和消极类别,以衡量与前四个文件相比,特定MD&A部分的语气变化。我们的研究结果表明,围绕美国证券交易委员会备案的短窗口市场反应与MD&A部分的基调显著相关,即使在控制了应计项目、OCF和盈利意外之后也是如此。我们还表明,MD&A部分的基调显著增加了证券交易委员会提交日期后两天到后续季度初步收益公告后一天的窗口内的投资组合漂移回报,超出了应计项目、OCF和收益意外所传达的财务信息。语调变化的增量信息越大,企业的信息环境越弱。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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