Media abnormal tone, earnings announcements, and the stock market

David Ardia, Keven Bluteau and Kris Boudt

Journal of Financial Markets, 2022, vol. 61, issue C

Abstract: 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.

Keywords: Abnormal returns; Abnormal tone; Earnings announcements; Event study; News media; Sentometrics; Structural Topic Model (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Media abnormal tone, earnings announcements, and the stock market (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:61:y:2022:i:c:s1386418121000598

DOI: 10.1016/j.finmar.2021.100683

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