Abstract

http://ssrn.com/abstract=685145
 
 

References (19)



 
 

Citations (195)



 


 



Giving Content to Investor Sentiment: The Role of Media in the Stock Market


Paul C. Tetlock


Columbia Business School - Finance and Economics


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.

Number of Pages in PDF File: 51

Keywords: Investor sentiment, financial news media, content analysis, efficient markets

JEL Classification: G12, G14

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Date posted: March 21, 2005  

Suggested Citation

Tetlock, Paul C., Giving Content to Investor Sentiment: The Role of Media in the Stock Market. Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=685145 or http://dx.doi.org/10.2139/ssrn.685145

Contact Information

Paul C. Tetlock (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
212-854-9895 (Fax)
HOME PAGE: http://www0.gsb.columbia.edu/faculty/ptetlock/

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