PEAD.txt: Post-Earnings-Announcement Drift Using Text

67 Pages Posted: 22 Apr 2021 Last revised: 13 Jan 2022

See all articles by Vitaly Meursault

Vitaly Meursault

Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Pierre Jinghong Liang

Tepper School of Business, Carnegie Mellon University

Bryan Routledge

Carnegie Mellon University - David A. Tepper School of Business

Madeline Scanlon

University of Pittsburgh

Multiple version iconThere are 2 versions of this paper

Date Written: April 9, 2021

Abstract

We construct a new numerical measure of earnings announcement surprises, standardized unexpected earnings call text (SUE.txt), that does not explicitly incorporate the reported earnings value. SUE.txt generates a text-based post-earnings-announcement drift (PEAD.txt) larger than the classic PEAD. The magnitude of PEAD.txt is considerable even in recent years when the classic PEAD is close to zero. We explore our text-based empirical model to show that the calls’ news content is about details behind the earnings number and the fundamentals of the firm.

Keywords: PEAD, Machine Learning, NLP, Text Analysis

JEL Classification: G14, G12, C00

Suggested Citation

Meursault, Vitaly and Liang, Pierre Jinghong and Routledge, Bryan R. and Scanlon, Madeline, PEAD.txt: Post-Earnings-Announcement Drift Using Text (April 9, 2021). Available at SSRN: https://ssrn.com/abstract=3778798 or http://dx.doi.org/10.2139/ssrn.3778798

Vitaly Meursault (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Philadelphia ( email )

Ten Independence Mall
Philadelphia, PA 19106-1574
United States

Pierre Jinghong Liang

Tepper School of Business, Carnegie Mellon University ( email )

5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States
412-268-3315 (Phone)
412-268-6837 (Fax)

HOME PAGE: http://www2.tepper.cmu.edu/andrew/liangj

Bryan R. Routledge

Carnegie Mellon University - David A. Tepper School of Business ( email )

5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States
(412) 268-7588 (Phone)
(412) 268-7064 (Fax)

Madeline Scanlon

University of Pittsburgh ( email )

135 N Bellefield Ave
Pittsburgh, PA 15260
United States

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