Media-expressed negative tone and firm-level stock returns
Khurshid Ahmad,
JingGuang Han,
Elaine Hutson,
Colm Kearney and
Sha Liu
Journal of Corporate Finance, 2016, vol. 37, issue C, 152-172
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.
Keywords: Textual analysis; Media-expressed tone, negative sentiment; News; Market efficiency (search for similar items in EconPapers)
JEL-codes: G14 G39 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0929119915001637
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Media-expressed negative tone and firm-level stock returns (2016) 
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:eee:corfin:v:37:y:2016:i:c:p:152-172
DOI: 10.1016/j.jcorpfin.2015.12.014
Access Statistics for this article
Journal of Corporate Finance is currently edited by A. Poulsen and J. Netter
More articles in Journal of Corporate Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().