In this project supervised by Lynx, analysts Alexander Degener, Axel Ahlqvist, and Lukas Schuon investigate how sentiment in earnings calls affects the short-term movement of stock prices. The study examines the relationship between the sentiment expressed during the calls and excess returns across different time windows.
The analysis found that negative sentiment was consistently followed by negative excess returns, while positive sentiment led to more volatile and mixed outcomes. The strongest effects were observed within the first four hours, with excess returns becoming more normally distributed after one day, as the short-term market reaction stabilized.