'Much Ado About Nothing'?: The Effect of Print Media Tone on Stock Indices
55 Pages Posted: 12 Jul 2018 Last revised: 5 Mar 2019
Date Written: February 28, 2019
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: Suggested Citation