'Much Ado About Nothing'?: The Effect of Print Media Tone on Stock Indices

55 Pages Posted: 12 Jul 2018 Last revised: 5 Mar 2019

See all articles by Yossi Saadon

Yossi Saadon

Bank of Israel - Research Department

Ben Z. Schreiber

Bank of Israel; Bar Ilan University

Date Written: February 28, 2019

Abstract

We translate print media coverage into a gauge of human sentiment and the equivalent advertisement value, and find that the tone of media coverage substantially impacts stock markets. The tone has a positive effect on overnight stock returns and a negative effect on intraday returns, while conditional variance and daily price gaps are negatively influenced. This effect is significant on days of sharp price declines. The coverage of negative events in the capital market is about double the coverage of positive events. This asymmetry is greater when distinguishing between professional and unprofessional financial print media.

Keywords: News Media Content, Stock Returns, News-Based Trading Strategy, Overnight Returns

JEL Classification: G14, G15

Suggested Citation

Saadon, Yossi and Schreiber, Ben Z., 'Much Ado About Nothing'?: The Effect of Print Media Tone on Stock Indices (February 28, 2019). Available at SSRN: https://ssrn.com/abstract=3200113 or http://dx.doi.org/10.2139/ssrn.3200113

Yossi Saadon

Bank of Israel - Research Department ( email )

PO Box 780
Jerusalem 91007
Israel

Ben Z. Schreiber (Contact Author)

Bank of Israel ( email )

P.O. Box 780
Jerusalem 91007
Israel
972-2-6552595 (Phone)
972-2-6512026 (Fax)

Bar Ilan University ( email )

Ramat Gan, 55000
Israel

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