The University of Southampton
University of Southampton Institutional Repository

Media-expressed negative tone and firm-level stock returns

Media-expressed negative tone and firm-level stock returns
Media-expressed negative tone and firm-level stock returns
We build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate rolling window vector autoregressive (VAR) models for each firm, we show how media-expressed negative tone impacts firm-level returns episodically in ways that vary across firms and over time. We find that firms experience prolonged periods during which media-expressed tone has no effect on returns, and occasional episodes when it has a significant impact. During the significant episodes, its impacts are sometimes quickly reversed and at other times they endure – implying that media comment and analysis can sometimes be sentiment (or noise), but it can also contain value-relevant information or news. Our findings are in general consistent with efficiently functioning markets in which the media assists with the processing of complex information
0929-1199
152-172
Ahmad, Khurshid
5cba80bf-1a4b-4503-bdff-9ff4e8a88ca1
Han, Jingguang
d05c3b32-0582-4e63-a092-51a7221076a1
Hutson, Elaine
5d8033b9-05b6-48d1-8fe3-e165cce45c69
Kearney, Colm
7d1810f2-9420-47e4-a9b4-8cc462d2ada0
Liu, Sha
738b1d80-5aa6-4750-868e-b4741657874f
Ahmad, Khurshid
5cba80bf-1a4b-4503-bdff-9ff4e8a88ca1
Han, Jingguang
d05c3b32-0582-4e63-a092-51a7221076a1
Hutson, Elaine
5d8033b9-05b6-48d1-8fe3-e165cce45c69
Kearney, Colm
7d1810f2-9420-47e4-a9b4-8cc462d2ada0
Liu, Sha
738b1d80-5aa6-4750-868e-b4741657874f

Ahmad, Khurshid, Han, Jingguang, Hutson, Elaine, Kearney, Colm and Liu, Sha (2016) Media-expressed negative tone and firm-level stock returns. Journal of Corporate Finance, 37, 152-172. (doi:10.1016/j.jcorpfin.2015.12.014).

Record type: Article

Abstract

We build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate rolling window vector autoregressive (VAR) models for each firm, we show how media-expressed negative tone impacts firm-level returns episodically in ways that vary across firms and over time. We find that firms experience prolonged periods during which media-expressed tone has no effect on returns, and occasional episodes when it has a significant impact. During the significant episodes, its impacts are sometimes quickly reversed and at other times they endure – implying that media comment and analysis can sometimes be sentiment (or noise), but it can also contain value-relevant information or news. Our findings are in general consistent with efficiently functioning markets in which the media assists with the processing of complex information

Full text not available from this repository.

More information

Accepted/In Press date: 22 December 2015
e-pub ahead of print date: 31 December 2015
Published date: April 2016
Organisations: Centre of Excellence for International Banking, Finance & Accounting, Electronics & Computer Science

Identifiers

Local EPrints ID: 385839
URI: https://eprints.soton.ac.uk/id/eprint/385839
ISSN: 0929-1199
PURE UUID: b88b1a41-2894-425a-9130-1a7bbe4296bc

Catalogue record

Date deposited: 18 Jan 2016 11:36
Last modified: 15 Jul 2019 20:51

Export record

Altmetrics

Contributors

Author: Khurshid Ahmad
Author: Jingguang Han
Author: Elaine Hutson
Author: Colm Kearney
Author: Sha Liu

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of https://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×