G-2021-50
Media abnormal tone, earnings announcements, and the stock market
, et
référence BibTeXWe propose a tone-based event study to reveal 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 positive relationship found between the abnormal tone and abnormal returns suggests that media provide incremental information relative to the information contained in earnings press releases and earnings calls.
Paru en septembre 2021 , 26 pages
Axe de recherche
Application de recherche
Publication
oct. 2021
, et
À paraître dans : Journal of Financial Markets, No article: 100683, 2021
référence BibTeX
Document
G2150.pdf (2,1 Mo)
Matériel additionnel
G2150_IA.pdf (380 Ko)