News Tone Dispersion and Investor Disagreement

56 Pages Posted: 21 Dec 2012 Last revised: 3 Jun 2017

See all articles by Michał Dzieliński

Michał Dzieliński

Stockholm Business School, Stockholm University

Henrik Hasseltoft

affiliation not provided to SSRN

Date Written: June 3, 2017

Abstract

We exploit linguistic analysis of firm-specific news to measure aggregate disagreement, based on the notion that investors disagree more when news tone is highly dispersed across firms. Consistent with theories of disagreement, we find that news tone dispersion i) is negatively related to aggregate discount-rate shocks, ii) is positively related to volatility and turnover, and iii) predicts returns negatively on the aggregate market, on high-beta stocks, and on short-sales constrained stocks. Using news tone dispersion to measure disagreement is advantageous as it can be measured over any interval, even days, and reflects new information in a timely fashion.

Keywords: disagreement, news analytics, predictability, stock returns, volatility

JEL Classification: G12, G14, G17

Suggested Citation

Dzieliński, Michał and Hasseltoft, Henrik, News Tone Dispersion and Investor Disagreement (June 3, 2017). Available at SSRN: https://ssrn.com/abstract=2192532 or http://dx.doi.org/10.2139/ssrn.2192532

Michał Dzieliński (Contact Author)

Stockholm Business School, Stockholm University ( email )

Kräftriket 7
Stockholm, 106 91
Sweden

HOME PAGE: http://www.sbs.su.se/en/

Henrik Hasseltoft

affiliation not provided to SSRN

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
618
Abstract Views
3,218
rank
49,291
PlumX Metrics