Cognitive processing of nonverbal cues in earnings conference calls: The association between CEO vocal emotion and stock market reactions

As important nonverbal cues, CEO vocal emotion in earnings conference calls conveys incremental information about firms. This study investigates the association between CEO vocal emotion and stock market reactions from the perspective of investor cognitive processing. Particularly, speech emotion recognition techniques are applied to measure CEO vocal valence and arousal in the two-dimensional emotion space and determine the dynamic emotion reversals. Based on a large panel dataset, we conduct various empirical tests and robustness checks to find that CEO vocal valence in earnings conference calls is positively associated with corporate cumulative abnormal returns over the next two trading days. CEO vocal arousal nonlinearly moderates this association, which is strongest at medium levels of arousal. Furthermore, a high frequency of emotion reversals strengthens the main association. This study provides in-depth insights into the role of CEO vocal emotion in market, and the validation of boundary conditions sheds light on mechanism exploration.