Media-expressed negative tone and firm-level stock returns

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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
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
Type of material: Journal Article
Publisher: Elsevier
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

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