Market Reaction to Verbal Components of Earnings Press Releases: Event Study Using a Predictive Algorithm

By E. Henry. 2006

155 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

Textual Sentiment in Finance: A Survey of Methods and Models (2014, methodology): “The authors find that the context-specific word list developed by Henry (2006, 2008) is more 12 powerful than the general word lists used in previous research.”
Evidence on the Information Content of Text in Analyst Reports (2014, methodology): “These accuracy rates are greater than the accuracy rate of 62.02 percent and 65.44 percent obtained from the financial dictionaries of Loughran and McDonald (2011) and Henry (2006), respectively, in classifying analyst reports.”
Large Sample Evidence on the Informativeness of Text in Analyst Reports (2012, background): “We see that the financial dictionaries of Loughran and McDonald (2011) and Henry (2006) achieve accuracy of 62.”
Sentiment in Central Banks’ Financial Stability Reports* (2017, unknown): “As suggested by LM and Henry and Leone (2016), words might have different connotations depending on what context they are being used in.”
Impression Management and Retrospective Sense-Making in Corporate Narratives: A Social Psychology Perspective (2011, background): “If managers use corporate narratives to provide useful incremental information, then positive organisational outcomes should be associated with the use of positive key words and negative organisational outcomes with the use of negative key words (Abrahamson and Amir, 1996; Henry, 2006; Davis et al.,”
The Effect of Managerial "Style" on the Tone of Earnings Conference Calls ∗ (2012, methodology): “by Henry (2006, 2008) that was specifically designed for analyzing language in earnings press releases and 2) a wordlist developed by Loughran and McDonald (2009) that was designed for analyzing language in 10-K filings.(12) We obtain the Henry wordlist from Figure 1 of Henry (2008) and the Loughran”
Beyond the Numbers: Measuring the Information Content of Earnings Press Release Language (2011, methodology): “4 Henry (2006, 2008) also employs DICTION to process arnings press release texts.”
Natural Language Processing in Accounting, Auditing and Finance: A Synthesis of the Literature with a Roadmap for Future Research (2016, methodology): “…conditional random field (CRF) models (Chen et al., 2011), and various statistical classifiers, such as NB (Li, 2010a), logistic regression (LR) (Henry, 2006), support vector regression (SVR) (Li Q et al., 2014), linguistic inquiry and word count (LIWC) (Larcker & Zakolyukina, 2012), k-nearest…”
Measuring Qualitative Information in Capital Markets Research: Comparison of Alternative Methodologies to Measure Disclosure Tone (2016, methodology): “The four wordlists are: (1) a wordlist developed in Henry’s (2006, 2008) analysis of earnings announcements (FD wordlist); (2) a wordlist from Diction software developed and used by Roderick Hart, a specialist in politics and mass media (Diction wordlist); (3) a wordlist from the General Inquirer pr”
Are Investors Influenced By How Earnings Press Releases Are Written? (2008, unknown): “Prior research using stylistic attributes of earnings press releases to predict overperforming stocks has not examined individual stylistic components (Henry, 2006).”
Discretionary Disclosure Strategies in Corporate Narratives: Incremental Information or Impression Management? (2008, unknown): “For this reason, the relation between earnings and share prices can be improved, not only by including earnings numbers, but also by including verbal content and writing style in the disclosure variable (press releases in this instance) [Henry, 2006a].”