Media abnormal tone, earnings announcements, and the stock market

被引：4
|
作者：
Ardia, David [1 ,2 ]
Bluteau, Keven [3 ]
Boudt, Kris [4 ,5 ,6 ]
机构：
[1] HEC Montreal, GERAD, Montreal, PQ, Canada
[2] HEC Montreal, Dept Decis Sci, Montreal, PQ, Canada
[3] Univ Sherbrooke, Dept Finance, 2500 Blvd Univ, Sherbrooke, PQ J1K 2R1, Canada
[4] Univ Ghent, Dept Econ, Ghent, Belgium
[5] Vrije Univ Brussel, Solvay Business Sch, Brussels, Belgium
[6] Vrije Univ Amsterdam, Sch Business & Econ, Amsterdam, Netherlands
来源：
JOURNAL OF FINANCIAL MARKETS | 2022年 / 61卷
关键词：
Abnormal returns; Abnormal tone; Earnings announcements; Event study; News media; Sentometrics; Structural Topic Model; CROSS-SECTION; BAD-NEWS; SENTIMENT; PERFORMANCE; LANGUAGE; SET;
D O I：
10.1016/j.finmar.2021.100683
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non-financial S&P 500 firms. The relation we find between the abnormal tone and abnormal returns suggests that media articles provide incremental information relative to the information contained in earnings press releases and earnings calls.
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页数：19
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