As Figure 1 depicts, we take the first post-call measures (ERROR1 and DISP1) 20 calendar days after the quarter t-1 earnings announcement.
Both averages are based on the forecasts used to compute the dependent variables, ERROR1 and DISP1; and
To the extent that firms do not change their other disclosure policies during that year, we expect ERROR1 (ERROR2) and DISP1 (DISP2) will be smaller (more negative) during the first conference call quarter relative to the same quarter of the prior year.
As predicted, both parametric t-tests and non-parametric Wilcoxon rank sum tests indicate that the decreases in error and dispersion of analysts' forecasts immediately after the earnings announcement (ERROR1 and DISP1) are significantly greater in quarters in which firms host conference calls in conjunction with the earnings announcement than in non-conference call quarters.
As predicted, the coefficient on the conference call variable is significantly negative (p-values < 0.01) for both the shorter window (DISP1) and the longer window (DISP2).