Media-expressed negative tone and firm-level stock returns

Files in This Item:
 File SizeFormat
DownloadJCF.pdf908.5 kBAdobe PDF
Title: Media-expressed negative tone and firm-level stock returns
Authors: Ahmad, KhurshidHan, JingGuangHutson, ElaineKearney, ColmLiu, 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
Funding Details: 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 analysisMedia-expressed toneNegative sentimentNewsMarket efficiency
DOI: 10.1016/j.jcorpfin.2015.12.014
Language: en
Status of Item: Peer reviewed
This item is made available under a Creative Commons License: https://creativecommons.org/licenses/by-nc-nd/3.0/ie/
Appears in Collections:Business Research Collection
UCD RePEc Archive Collection

Show full item record

SCOPUSTM   
Citations 20

23
Last Week
0
Last month
2
checked on Sep 12, 2020

Page view(s) 5

3,151
Last Week
9
Last month
33
checked on Nov 28, 2021

Download(s) 20

596
checked on Nov 28, 2021

Google ScholarTM

Check

Altmetric


If you are a publisher or author and have copyright concerns for any item, please email research.repository@ucd.ie and the item will be withdrawn immediately. The author or person responsible for depositing the article will be contacted within one business day.