Media-expressed negative tone and firm-level stock returns
|Title:||Media-expressed negative tone and firm-level stock returns||Authors:||Ahmad, Khurshid; Han, JingGuang; Hutson, Elaine; Kearney, Colm; Liu, Sha||Permanent link:||http://hdl.handle.net/10197/8208||Date:||Apr-2016||Online since:||2018-04-01T01:00:14Z||Abstract:||We build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate rolling window vector autoregressive (VAR) models for each firm, we show how media-expressed negative tone impacts firm-level returns episodically in ways that vary across firms and over time. We find that firms experience prolonged periods during which media-expressed tone has no effect on returns, and occasional episodes when it has a significant impact. During the significant episodes, its impacts are sometimes quickly reversed and at other times they endure — implying that media comment and analysis can sometimes be sentiment (or noise), but it can also contain value-relevant information or news. Our findings are in general consistent with efficiently functioning markets in which the media assists with the processing of complex information.||Funding Details:||Enterprise Ireland||metadata.dc.description.othersponsorship:||Trinity College Dublin||Type of material:||Journal Article||Publisher:||Elsevier||Journal:||Journal of Corporate Finance||Volume:||37||Start page:||152||End page:||172||Copyright (published version):||2016 Elsevier||Keywords:||Textual analysis; Media-expressed tone; Negative sentiment; News; Market efficiency||DOI:||10.1016/j.jcorpfin.2015.12.014||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
UCD RePEc Archive Collection
Show full item record
Page view(s) 52,681
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.