Media-expressed negative tone and firm-level stock returns
|Title:||Media-expressed negative tone and firm-level stock returns||Authors:||Ahmad, Khurshid
|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||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|
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