Essays on Novel Methods in Empirical Finance

Earnings announcements contain important information for investors. Absolute price changes on announcement days are more than twice the size of changes on other days (Beaver, McNichols, and Wang 2018). Various aspects of earnings press releases are shown to be informative for the markets, including the presence of operational details in a release (Francis, Schipper, and Vincent 2002a) and forward-lookingness (Bozanic, Roulstone, and Van Buskirk

2018). Interestingly, the content of earnings announcements is varied. For example, companies can mention topics such as their segment sales (“Meanwhile, sales for our disk drive analyzer products reached their highest level in more than two years”; LeCroy, 2005, Q3), or relay their excitement about the potential of their products (“We believe that these new and enhanced products represent great potential”; Mobius Management System, 2006, Q1). This paper

shows that we can systematically understand what language is important.