Holden: The tortoise lays on its back, its belly baking in the hot sun, beating its legs trying to turn itself over, but it can’t. Not without your help. But you’re not helping.
Leon: [angry at the suggestion] What do you mean, I’m not helping?
Holden: I mean: you’re not helping! Why is that, Leon?
[Leon has become visibly shaken]
Holden: They’re just questions, Leon. In answer to your query, they’re written down for me. It’s a test, designed to provoke an emotional response… Shall we continue?
– Bladerunner (1982)
Bladerunner-style Voight-Kampff test comes to earnings calls, sort of, in a new academic paper:
We measure managerial affective states during earnings conference calls by analyzing conference call audio files using vocal emotion analysis software. We hypothesize and find that when managers are scrutinized by analysts during conference calls, positive and negative affect displayed by managers are informative about the firm’s financial future. In particular, we find that managers exhibiting positive (negative) affect are positively (negatively) related to contemporaneous stock returns and future unexpected earnings. However, analysts do not incorporate the information when forecasting near term earnings. When making stock recommendation changes, however, analysts do incorporate positive affect but not negative affect. We observe market underreaction to negative affect as if market participants follow analyst recommendation changes. This study presents new evidence that managerial vocal cues contain useful information about firms’ fundamentals, incremental to both quantitative earnings information and qualitative “soft” information conveyed by the linguistic content.