テキスト分析を用いた本邦決算説明会の情報価値

企業と投資家の双方向の観点からの定量的検証

抄録

Financial results briefings are a bidirectional communication channel between companies and stakeholders, complementing unidirectional communication through annual reports and integrated reports, among others. Financial results briefings provide a platform for companies to promptly explain their financial performance, business status, and strategies. They typically consist of a presentation by management and a QA session, enabling participants to directly inquire about financial performance and resolve concerns. We analyze the information value of financial results briefings from both the company and investor perspectives in the Japanese market. For companies, the value lies in determining whether information disclosed during these financial results briefings reduces the cost of capital. Higher-quality information disclosure is theorized to mitigate information asymmetry among market participants and, consequently, lower the cost of capital. Therefore, we assign sentiments to text data from financial results briefings, considering the corresponding financial results. We then examine the correlation between text sentiments, text lengths, and the cost of capital. For investors, the question is whether information disclosure during these financial results briefings influences post-disclosure abnormal returns. We examine the relationship between sentiment and postdisclosure abnormal returns. As a result, from a company’s perspective, we find that the cost of capital tends to be lower when the text length in the QA session is large. This suggests that sufficient information disclosure contributes to reducing the cost of capital, and is consistent with existing empirical studies and theoretical models. From the investors’ perspective, we find that the sentiment of the QA session and the excess sentiment beyond the expected from the explanation are associated with short-term abnormal returns. This result confirms that QA is a valuable source of information for investors. We underscore the significance of financial results briefings in both company IR activities and from the perspective of investors.