애널리스트 보고서 제목의 정보력 검증: 텍스트 어조를 중심으로

The information provided by analyst reports ranges from recommendation and target price information to forecasts for various accounting data including earnings and textual information. This study aims to comprehensively analyze the informativeness of various variables provided by analysts. In particular, this study extracts the title of the analyst report and verifies its informativeness using tone variables of the text. The relationship between these variables and the cumulative abnormal return (CAR) over five days surrounding the disclosure date of the analyst report is analyzed by regression analysis. For this study, approximately 50,000 large-scale analyst reports are used from 2009 to 2018. The empirical results show that the market reacts significantly to the change in recommendation, change in target price, and tone of tile text. In particular, the tone of text is significant even after controlling other information variables, showing that it has an information power that is distinguished from other variables. The negative tone has more informativeness than the positive tone. In particular, the information effect of text tone is stronger in small companies and companies with fewer analysts. The information power of the text tone is classified according to the characteristics of securities companies and analysts. The characteristics of securities firms are significant, while considering the characteristics of analysts does not show meaningful information. This study is meaningful in that it attempts to analyze the text of the analyst report and finds its usefulness.