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Media abnormal tone, earnings announcements, and the stock market

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  • Ardia, David
  • Bluteau, Keven
  • Boudt, Kris

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.

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  • Ardia, David & Bluteau, Keven & Boudt, Kris, 2022. "Media abnormal tone, earnings announcements, and the stock market," Journal of Financial Markets, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finmar:v:61:y:2022:i:c:s1386418121000598
    DOI: 10.1016/j.finmar.2021.100683
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    Cited by:

    1. Rui Liu & Jiayou Liang & Haolong Chen & Yujia Hu, 2024. "Analyst Reports and Stock Performance: Evidence from the Chinese Market," Papers 2411.08726, arXiv.org.
    2. Perico Ortiz, Daniel & Schnaubelt, Matthias & Seifert, Oleg, 2023. "A topic modeling perspective on investor uncertainty," FAU Discussion Papers in Economics 04/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    3. David Ardia & Keven Bluteau, 2024. "Optimal Text-Based Time-Series Indices," Papers 2405.10449, arXiv.org.

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    More about this item

    Keywords

    Abnormal returns; Abnormal tone; Earnings announcements; Event study; News media; Sentometrics; Structural Topic Model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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