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

Author

Listed:
  • Mosi Rosenboim

    (Ben-Gurion University)

  • Yossi Saadon

    (Bank of Israel, Sapir College)

  • Ben Z. Schreiber

    (Bank of Israel, Bar-Ilan University)

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.

Suggested Citation

  • Mosi Rosenboim & Yossi Saadon & Ben Z. Schreiber, 2018. "“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices," Bank of Israel Working Papers 2018.10, Bank of Israel.
    • Handle: RePEc:boi:wpaper:2018.10
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    References listed on IDEAS

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    Cited by:

    1. Nitzan Tzur-Ilan, 2018. "LTV Limits and Borrower Risk," Bank of Israel Working Papers 2018.12, Bank of Israel.

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    More about this item

    Keywords

    Media coverage; Market sentiment; Overnight returns;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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