EconPapers    
Economics at your fingertips  
 

Giving Content to Investor Sentiment: The Role of Media in the Stock Market

Paul C. Tetlock

Journal of Finance, 2007, vol. 62, issue 3, 1139-1168

Abstract: I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (597) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1540-6261.2007.01232.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:62:y:2007:i:3:p:1139-1168

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-07-08
Handle: RePEc:bla:jfinan:v:62:y:2007:i:3:p:1139-1168