Media Abnormal Tone, Earnings Announcements, and the Stock Market

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.

Publication
Journal of Financial Markets, Forthcoming
Date