Earnings Call Tone and Abnormal Returns: Evidence from the Swedish Market

Sammanfattning

This thesis examines how managerial sentiment in quarterly earnings conference calls is associated with the short-window stock price reaction of Swedish listed companies. While extensive evidence on the informational role of managerial tone exists in the U.S. setting, evidence from non-U.S. contexts remains scarce. Using a sample of 4,041 firm-quarter observations from 195 firms listed on Nasdaq Stockholm between 2015 and 2025, we employ a bag-of-words textual analysis method based on the Loughran and McDonald (2011) dictionary to quantify positive and negative tone in the earnings call transcripts. We separate the presentation and Q&A sections of the call to isolate scripted from spontaneous communication. We regress the cumulative abnormal return (CAR) in a three-day event window around the call on our tone measures and control variables using OLS with firm and year-quarter fixed effects and standard errors clustered by firm and quarter. We find that the net tone in the conference call is positively and significantly associated with CAR in both the presentation and Q&A section. However, we do not find support for an asymmetric effect where negative words have a stronger association with CAR than positive words. Overall, our analysis provides evidence that abnormal returns are associated not only with what managers report, but also with how they say it.