Thus, our second post-call measures (ERROR2 and DISP2) start at the same time but end later, upon the announcement of quarter t earnings.
Both averages are based on the forecasts used to compute the dependent variables, ERROR2 and DISP2.
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.
The greater decrease in dispersion persists through the next earnings announcement (DISP2).
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).
The coefficient on CCFIRM is generally not significant (except in the DISP2 regression), suggesting that non-conference call quarters for firms that eventually host conference calls are not significantly different from non-conference call quarters for firms that never host conference calls.