“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices

Mosi Rosenboim (mmm@som.bgu.ac.il), Yossi Saadon and Ben Schreiber
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Mosi Rosenboim: Ben-Gurion University

No 2018.10, Bank of Israel Working Papers from Bank of Israel

Abstract: We translate print media coverage into a gauge of human sentiment and the equivalent advertisement value, and find that the tone of media coverage substantially impacts stock markets. The tone has a positive effect on both overnight and daily stock returns but not on intraday returns, while conditional variance and daily price gaps are negatively influenced. This effect is significant on days of sharp price declines. The coverage of negative events in the capital market is about double the coverage of positive events. This asymmetry is greater when distinguishing between professional and unprofessional financial print media.

Keywords: Media coverage; Market sentiment; Overnight returns (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2018-10
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Citations: View citations in EconPapers (1)

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