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Can Investor listen to the voice and get excess return?
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TitleCan Investor listen to the voice and get excess return?  
AuthorLiu Liya, Chen Ruihua , Min Min and Zhu Xiaoneng  
Organization School of Finance, Shanghai University of Finance and Economics; Shanghai Key Laboratory of Financial Information Technology;;;; 
Key WordsVoluntary Disclosure; Big Data; Conference Call; Voice, Sentiment 
AbstractPsychology literature believed that human voice, facial expressions and the body language play important roles in the information delivery process. If so, can investors in the stock market capture this kinds of information from the voice channel? We collected the investors communication conference call held by China A-share listed companies during 2013-2016, and first recognized the sentiment in the manager’s voice. We examine the incremental informativeness of the manager’s voice sentiment and the corresponding market reaction, we find that (1) firms with higher profitability, larger size and better corporate governance are more likely to hold and publish the investor communication conference call. (2) the manager’s voice sentiments have more information in the Q&A part than presentation part during the conference call. And investors are more sensitive to manager’s negative voice sentiment. (3) manager’s voice sentiment will leak more information when they are under larger pressure. Our find shows that voice channel is non-negligible for the information communication in China’s stock market and manager’s voice sentiment have unique information, investors can use the information contained in the negative voice sentiment to get significant abnormal return. We contribute to the literature of voluntary disclosure and the way how academic study use the multi-dimensional of Big Data—the voice data. 
Serial NumberWP1345 
  • Institute of Economics, Chinese Academy of Social Sciences
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