IDEAS home Printed from https://ideas.repec.org/a/bla/irvfin/v14y2014i1p29-51.html
   My bibliography  Save this article

Is No News Good News?: The Streaming News Effect on Investor Behavior Surrounding Analyst Stock Revision Announcement

Author

Listed:
  • Sheridan Titman
  • Takahiro Azuma
  • Katsuhiko Okada
  • Yukinobu Hamuro

Abstract

We investigate media influence on stock returns that are revised by sell-side analysts. Our main findings are twofold. First, post-announcement returns depend on whether the stock is covered by the media. Media-covered stocks demonstrate weaker post-announcement returns than their non-media-covered counterparts. Second, for media-covered event samples, we create a sentiment proxy using a unique news word count method and investigate whether pre-event sentiment affects post-event returns. Our results indicate that pre-event sentiment dictates short-run investor behavior and affects the post-announcement return in a significant manner.

Suggested Citation

  • Sheridan Titman & Takahiro Azuma & Katsuhiko Okada & Yukinobu Hamuro, 2014. "Is No News Good News?: The Streaming News Effect on Investor Behavior Surrounding Analyst Stock Revision Announcement," International Review of Finance, International Review of Finance Ltd., vol. 14(1), pages 29-51, March.
  • Handle: RePEc:bla:irvfin:v:14:y:2014:i:1:p:29-51
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/irfi.12027
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Paul C. Tetlock & Maytal Saar‐Tsechansky & Sofus Macskassy, 2008. "More Than Words: Quantifying Language to Measure Firms' Fundamentals," Journal of Finance, American Finance Association, vol. 63(3), pages 1437-1467, June.
    2. Frieder, Laura & Subrahmanyam, Avanidhar, 2005. "Brand Perceptions and the Market for Common Stock," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 57-85, March.
    3. Lily Fang & Joel Peress, 2009. "Media Coverage and the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 64(5), pages 2023-2052, October.
    4. Sanjiv R. Das & Mike Y. Chen, 2007. "Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web," Management Science, INFORMS, vol. 53(9), pages 1375-1388, September.
    5. repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
    6. repec:bla:jfinan:v:53:y:1998:i:2:p:673-699 is not listed on IDEAS
    7. Womack, Kent L, 1996. "Do Brokerage Analysts' Recommendations Have Investment Value?," Journal of Finance, American Finance Association, vol. 51(1), pages 137-167, March.
    8. Brad Barber & Reuven Lehavy & Maureen McNichols & Brett Trueman, 2001. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns," Journal of Finance, American Finance Association, vol. 56(2), pages 531-563, April.
    9. Conrad, Jennifer & Cornell, Bradford & Landsman, Wayne R. & Rountree, Brian R., 2006. "How Do Analyst Recommendations Respond to Major News?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(1), pages 25-49, March.
    10. Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
    11. Gustavo Grullon, 2004. "Advertising, Breadth of Ownership, and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 439-461.
    12. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    13. repec:bla:jfinan:v:59:y:2004:i:3:p:1259-1294 is not listed on IDEAS
    14. Francis, J & Soffer, L, 1997. "The relative informativeness of analysts' stock recommendations and earnings forecast revisions," Journal of Accounting Research, Wiley Blackwell, vol. 35(2), pages 193-211.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    2. Aman, Hiroyuki & Moriyasu, Hiroshi, 2017. "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 660-676.
    3. Neenu C & T Mohamed Nishad, 2022. "Behavior of Financial Markets Around News Announcements: A Review Based on Bibliometric Analysis of Scientific Fields," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(2), pages 143-172, December.
    4. Wei, Yu-Chen & Lu, Yang-Cheng & Chen, Jen-Nan & Hsu, Yen-Ju, 2017. "Informativeness of the market news sentiment in the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 158-181.
    5. Nattapong Laksomya & John G. Powell & Suparatana Tanthanongsakkun & Sirimon Treepongkaruna, 2018. "Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 275-309, November.
    6. D.G. Artemyev & N.A. Kuznetsov & D.V. Gergert, 2021. "The Influence of Media Coverage of Corporate Social Responsibility Projects on the Market Value of Shares of Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(4), pages 750-774.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Thomas J. Chemmanur & An Yan, 2019. "Advertising, Attention, and Stock Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 1-51, September.
    2. Frijns, Bart & Huynh, Thanh D., 2018. "Herding in analysts’ recommendations: The role of media," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 1-18.
    3. Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Does connection with @realDonaldTrump affect stock prices?," Working Papers 2018-07, Swansea University, School of Management.
    4. Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016. "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
    5. Ding, Rong & Hou, Wenxuan & Liu, Yue (Lucy) & Zhang, John Ziyang, 2018. "Media censorship and stock price: Evidence from the foreign share discount in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 112-133.
    6. Buehlmaier, Matthias M. M. & Zechner, Josef, 2016. "Financial media, price discovery, and merger arbitrage," CFS Working Paper Series 551, Center for Financial Studies (CFS).
    7. Miwa, Kotaro, 2022. "The informational role of analysts’ textual statements," Research in International Business and Finance, Elsevier, vol. 59(C).
    8. Alexander Kerl & Carolin Schürg & Andreas Walter, 2014. "The impact of Financial Times Deutschland news on stock prices: post-announcement drifts and inattention of investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 409-436, November.
    9. Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media bots and stock markets," European Financial Management, European Financial Management Association, vol. 26(3), pages 753-777, June.
    10. Leung, Henry & Ton, Thai, 2015. "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 37-55.
    11. Laura Xiaolei Liu & Ann E. Sherman & Yong Zhang, 2014. "The Long-Run Role of the Media: Evidence from Initial Public Offerings," Management Science, INFORMS, vol. 60(8), pages 1945-1964, August.
    12. Ivan Guitart & Manfred Schwaiger & Johanna Eberhardt, 2024. "How and Why Does Corporate Reputation Moderate Mass Media News’ Impact On Market Value?," Post-Print hal-04346339, HAL.
    13. Wu, Chen-Hui, 2022. "The informativeness of brokerage reports: Privately-circulated versus publicly-disseminated news," International Review of Financial Analysis, Elsevier, vol. 83(C).
    14. Fan, Qingliang & Wang, Ting, 2018. "Game day effect on stock market: Evidence from four major sports leagues in US," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 9-18.
    15. D.G. Artemyev & N.A. Kuznetsov & D.V. Gergert, 2021. "The Influence of Media Coverage of Corporate Social Responsibility Projects on the Market Value of Shares of Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(4), pages 750-774.
    16. Ammann, Manuel & Frey, Roman & Verhofen, Michael, 2012. "Do Newspaper Articles Predict Aggregate Stock Returns?," Working Papers on Finance 1204, University of St. Gallen, School of Finance.
    17. Gambaro, Marco & Puglisi, Riccardo, 2015. "What do ads buy? Daily coverage of listed companies on the Italian press," European Journal of Political Economy, Elsevier, vol. 39(C), pages 41-57.
    18. Thabang Mokoaleli‐Mokoteli & Richard J. Taffler & Vineet Agarwal, 2009. "Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(3‐4), pages 384-418, April.
    19. Ferdinand Graf, 2011. "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz 2011-18, Department of Economics, University of Konstanz.
    20. Xu, Yongxin & Xuan, Yuhao & Zheng, Gaoping, 2021. "Internet searching and stock price crash risk: Evidence from a quasi-natural experiment," Journal of Financial Economics, Elsevier, vol. 141(1), pages 255-275.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:irvfin:v:14:y:2014:i:1:p:29-51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.