Managers’ Abnormal Tone and Stock Price Delay — A Textual Analysis Based on Earnings Communication Conferences of Chinese Listed Companies

The tone data used in this paper are mainly from the China Research Data Service (CNRDS). To ensure the integrity of sample data as much as possible, we crawl and supplement the missing earnings communication conference texts of all listed companies involved in CNRDS. The main websites supplemented by crawlers are as follows: https://rs.p5w.net is a large-scale centralized website for listed companies to hold earnings communication conferences, including the earnings communication conferences information of most A-share listed companies; Sse e Interactive (http://sns.sseinfo.com) is the official website of SSE, which collects a considerable part of earnings communication conferences information. The Securities Times website (http://www.stcn.com) contains a small amount of information about earnings communication conferences. This paper first screened the missing CNRDS performance presentation and then carried out three rounds of manual screening, python crawler, and text acquisition on the above three websites successively. The content object of the earnings communication conference text for this study is finally determined. Other company data are downloaded from the Wind database and CSMAR database.

本文所使用的语调数据主要来源于中国研究数据服务（China Research Data Service，CNRDS）。为尽可能保障样本数据的完整性，我们对CNRDS所涵盖的全部上市公司缺失的业绩说明会文本进行了爬取补充。本次爬虫补充的主要来源网站如下：https://rs.p5w.net 是上市公司举办业绩说明会的大型集中式平台，收录了绝大多数A股上市公司的业绩说明会相关信息；上证e互动（http://sns.sseinfo.com）为上海证券交易所官方平台，收集了相当一部分业绩说明会相关资讯；证券时报网（http://www.stcn.com）亦包含少量业绩说明会相关内容。本文首先筛出CNRDS中缺失的业绩说明会文本，随后依次对上述三家网站开展三轮人工筛选、Python爬虫及文本采集工作，最终确定本研究所用的业绩说明会文本内容对象。其余公司层面数据均下载自万得（Wind）数据库与国泰安（CSMAR）数据库。