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Using a sample of 2,254 voluntarily-provided "Unbundled" management earnings forecast press releases; the authors investigate the role of linguistic sentiment and linguistic certainty in pricing. They provide evidence that sentiment in the forecast setting is directionally consistent with the simultaneously issued hard earnings forecast and plays a significantly greater role in the context of unstructured managerial forecasts than in the earnings announcement setting. They document that sentiment is less important when historical earnings are more informative for valuation, and that the pricing of sentiment varies with forecast specific characteristics of the accompanying hard news that are unique to the management forecast setting (forecast rounding and timeliness).
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