Media Abnormal Tone, Earnings Announcements, and the Stock Market

41 Pages Posted: 21 Jun 2018 Last revised: 21 Oct 2021

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

Université de Sherbrooke - Faculty of Administration

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: May 8, 2019

Abstract

We conduct a tone-based event study to examine 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 relation we find between the abnormal tone and abnormal returns suggests that media articles provide incremental information relative to the information contained in earnings press releases and earnings calls.

Keywords: abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics, Structural Topic Model (STM)

JEL Classification: G10, G12, G14

Suggested Citation

Ardia, David and Bluteau, Keven and Boudt, Kris, Media Abnormal Tone, Earnings Announcements, and the Stock Market (May 8, 2019). Journal of Financial Markets, Forthcoming, 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)

Université de Sherbrooke - Faculty of Administration ( email )

Sherbrooke, Québec J1K 2R1
Canada

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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