RDP 2023-06: Firms' Price-setting Behaviour: Insights from Earnings Calls 2. Data

Firms' earnings call transcripts are obtained from Reuters. The transcripts include both prepared remarks and subsequent question-and-answer (Q&A) sessions. Earnings calls typically take place a few hours after the release of earnings results. Earnings calls are a way for company executives to relay information to all interested parties, including the media, institutional and individual investors, and analysts from funds that manage money and sell financial products. In the calls, company executives deliver prepared remarks summarising the overall business position of the firm and the operating environment. This is then followed by a Q&A session where all interested parties ask questions about the outlook or probe into other issues. The information in these exchanges can be much richer than the prepared remarks alone.

Firms that hold earnings calls tend to be larger, with active investor bases that expect regular verbal updates and the opportunity to ask questions. There are around 550 distinct companies in our database and our analysis begins in 2007 (Figure 2). In total we work with around 5,500 transcripts, processing and analysing over 700,000 paragraphs along the way. Most firms release their results and hold earnings calls at a six-monthly frequency though some report quarterly or annually. Around 80 per cent of firms' reporting periods finish on 30 June and 31 December, with results released around two months later (Figure 3, top panel). A further 10 per cent of firms are so-called off-cycle reporters, whose reporting year ends in September, with the remainder reporting in other months throughout the year. The industry composition of the sample reflects the industrial composition of Australia's publicly listed companies (Figure 3, bottom panel). All our indices are constructed at the transcript level and then aggregated with no weighting scheme applied.