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Giving Content to Investor Sentiment: The Role of Media in the Stock Market
Paul C. Tetlock Columbia Business School Journal of Finance, Forthcoming Abstract: I quantitatively measure the nature of the media's interactions with the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These results and others are consistent with theoretical models of noise and liquidity traders. However, the evidence is inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.
Keywords: Investor sentiment, financial news media, content analysis, efficient markets JEL Classifications: G12, G14 Accepted Paper SeriesDate posted: March 21, 2005 ; Last revised: August 08, 2006Suggested CitationContact Information
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