Media Abnormal Tone, Earnings Announcements, and the Stock Market

59 Pages Posted: 21 Jun 2018 Last revised: 26 May 2020

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

HEC Montreal - Department of Decision Sciences; Ghent University - Department of Economics

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: May 8, 2019

Abstract

We 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 measure and abnormal returns suggests that media provide incremental information relative to the hard and soft information contained in earnings press releases. We also find that there is an overreaction to media abnormal tone, since the price increase associated with the abnormal tone in newspapers and web publications partially reverts in the twenty days following the announcement.

Keywords: abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

JEL Classification: G14, G17, M40

Suggested Citation

Ardia, David and Bluteau, Keven and Boudt, Kris, Media Abnormal Tone, Earnings Announcements, and the Stock Market (May 8, 2019). Available at SSRN: https://ssrn.com/abstract=3192064 or http://dx.doi.org/10.2139/ssrn.3192064

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Keven Bluteau (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Ghent University - Department of Economics ( email )

Belgium

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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