학회소식
[2022년 제 3차 SFR] Speculative and Informative: Lessons from Market Reactions to Speculation Cues
작성자 : 관리자
조회수 : 172
게시일 :
2022-07-01
Speculative language in corporate disclosures can convey valuable information on firms' fundamentals. We evaluate this idea by developing a measure for speculative statements based on sentences marked with the 'weasel tag' on Wikipedia. In the 10 weeks after filing, greater use of speculative statements in 10-Ks predicts positive and non-reverting abnormal returns, improvements to stock liquidity, more insider and informed buying, and more positive news sentiment. These findings are driven by disclosures that are more forward-looking and use more R&D terms. Together, our results imply that speculative statements in 10-Ks contain new information on positive but yet immature prospects of future cash flows.
