Aggregate Disclosure and Sentiment

Disclosure;Macroeconomics;Sentiment;Accounting;Business and Economics;Business Administration

Synn, ChristinaWilliams, Christopher Don ;

University of Michigan

关键词: Disclosure;    Macroeconomics;    Sentiment;    Accounting;    Business and Economics;    Business Administration;   

Others  :  https://deepblue.lib.umich.edu/bitstream/handle/2027.42/136961/csynn_1.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

This paper examines the relationship between aggregate disclosure and investor expectations about the future economy (i.e. sentiment).I specifically explore the relationship between the aggregate tone of firm-level annual and quarterly reports and common investor sentiment measures.Controlling for a number of macroeconomic factors, I find that more negative aggregate tone is associated with less positive sentiment in future months.Consistent with the Barberis, Shleifer, and Vishny (1998) model of investor sentiment, I find that this result is stronger when the disclosure is more salient (i.e. lower tone dispersion) and is more statistically informative (i.e. higher filing intensity).I also find preliminary evidence suggesting that aggregate tone relates to both short-term and long-term expectations and that it associates more to the non-fundamental expectations of investors.Overall, the findings suggest accounting information may play a role in influencing investor expectations about the future economy.