Giving Content to Investor Sentiment: The Role of Media in the Stock Market

51 Pages Posted: 21 Mar 2005

See all articles by Paul C. Tetlock

Paul C. Tetlock

Columbia Business School - Finance


I quantitatively measure the nature of the media's interactions with the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These results and others are consistent with theoretical models of noise and liquidity traders. However, the evidence is inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.

Keywords: Investor sentiment, financial news media, content analysis, efficient markets

JEL Classification: G12, G14

Suggested Citation

Tetlock, Paul C., Giving Content to Investor Sentiment: The Role of Media in the Stock Market. Journal of Finance, Forthcoming, Available at SSRN: or

Paul C. Tetlock (Contact Author)

Columbia Business School - Finance ( email )

665 W 130th St
Kravis Hall
New York, NY 10027
United States


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics