The Information Value of Unstructured Analyst Opinions – Studies on the Determinants of Information Value and its Relationship to Capital Markets Dissertation zur Erlangung des wirtschaftswissenschaftlichen Doktorgrades der Wirtschaftswissenschaftlichen Fakultät der Georg-August-Universität Göttingen Vorgelegt von: Matthias Eickhoff, M.Sc. Göttingen, 2017 Betreuungsausschuss Erstbetreuer Prof. Dr. Jan Muntermann Zweitbetreuer Prof. Dr. Matthias Schumann Drittbetreuer Prof. Dr. Lutz M. Kolbe ii Table of Contents List of Figures ...................................................................................................... v List of Tables ....................................................................................................... vi Abbreviations ..................................................................................................... vii Symbols .............................................................................................................. viii A. Foundations .............................................................................................. 1 1 Motivation ................................................................................................. 1 2 Research Questions.................................................................................... 3 3 Structure of the Thesis ............................................................................... 6 3.1 Part A: Foundations ......................................................................... 7 3.2 Part B: Research Areas .................................................................... 7 3.3 Part C: Contributions ....................................................................... 9 4 Research Background .............................................................................. 10 4.1 The Information Value of Analyst Opinion .................................. 10 4.2 Theoretical Background ................................................................ 12 4.2.1 Wisdom of Crowds........................................................... 12 4.2.2 Decision Making and Information Overload ................... 13 4.2.3 Media Richness Theory .................................................... 14 4.3 Methods ......................................................................................... 16 4.3.1 Text Mining Pre-Processing ............................................. 16 4.3.2 Sentiment Analysis ........................................................... 17 4.3.3 Topic Modeling ................................................................ 19 4.3.4 Event Study Analysis ....................................................... 21 4.3.5 Literature Review ............................................................. 22 4.3.6 Taxonomy Development .................................................. 23 4.4 Datasets.......................................................................................... 25 4.4.1 Social Media ..................................................................... 25 4.4.2 News Media...................................................................... 26 4.4.3 Analyst Opinion ............................................................... 26 4.4.4 Startup Profiles ................................................................. 28 5 Research Paradigms ................................................................................. 29 5.1 Behavioral Science ........................................................................ 29 5.2 Design Science .............................................................................. 31 iii B. Studies: Individual Research Contributions ............................................... 32 I. Research Area: Entrepreneurial Environment .......................................... 33 I.1. FinTech Business Model Taxonomy ......................................................... 34 II. Research Area: Methodological .................................................................. 35 II.1. Topic Modelling Methodology Review .................................................... 36 1 Introduction ............................................................................................. 37 2 Topic Models ........................................................................................... 38 2.1 Meta theoretical Foundations of Topic Modelling Research ........ 39 3 Research Design ...................................................................................... 40 1.1 Phase 1: Identify a Research Goal ................................................. 40 3.1 Phase 2: Research Methodology ................................................... 41 3.2 Phase 3: Analysis ........................................................................... 42 4 Results and Discussion ............................................................................ 44 5 Conclusion ............................................................................................... 49 II.2. Hybrid Sentiment Analysis Framework ................................................. 53 III. Research Area: Analyst Opinion ............................................................... 54 III.1. Stock Analysts vs. the Crowd ................................................................. 55 III.2. Identifying relevant Topics in Business Communication..................... 56 III.3. Topic Transfer between Earnings Calls and Analyst Reports ............ 57 1 Introduction ............................................................................................. 58 2 Theoretical Background .......................................................................... 58 3 Data and Pre-Processing .......................................................................... 60 4 Method ..................................................................................................... 61 5 Results ..................................................................................................... 63 5.1 Limitations ..................................................................................... 65 5.2 Future Research ............................................................................. 65 6 Conclusion ............................................................................................... 67 III.4. Media Richness and the Information Value of Analyst Opinion ........ 68 1 Introduction ............................................................................................. 69 2 Theory ...................................................................................................... 69 2.1 Analyst opinion ............................................................................. 69 2.2 Media Richness Theory ................................................................. 71 3 Structured, unstructured Data and Media Richness Theory .................... 73 3.1 Low Richness (Structured Data) ................................................... 73 3.2 High Richness (Unstructured Data)............................................... 74 4 Method ..................................................................................................... 75 iv 4.1 Sentiment Analysis ........................................................................ 75 4.2 Topic Mining ................................................................................. 76 4.3 Abnormal Returns ......................................................................... 77 4.4 Topic Selection .............................................................................. 78 5 Analysis and Results ................................................................................ 80 5.1 Implications and Limitations ......................................................... 82 5.2 Future Research ............................................................................. 83 6 Conclusion ............................................................................................... 84 C. Contributions ......................................................................................... 85 1 Summary of Results................................................................................. 86 1.1 Research Area I: Entrepreneurial Environment ............................ 86 1.2 Research Area II: Methodological ................................................. 87 1.3 Research Area III: Analyst Opinion .............................................. 89 2 Implications ............................................................................................. 94 2.1 Research Area I: Entrepreneurial Environment ............................ 94 2.2 Research Area II: Methodological ................................................. 95 2.3 Research Area III: Analyst Opinion .............................................. 95 3 Limitations ............................................................................................... 98 3.1 Research Area I: Entrepreneurial Environment ............................ 98 3.2 Research Area II: Methodological ................................................. 98 3.3 Research Area III: Analyst Opinion .............................................. 98 4 Future Research ..................................................................................... 100 4.1 Research Area I: Entrepreneurial Environment .......................... 100 4.2 Research Area II: Methodological ............................................... 100 4.3 Research Area III: