Media abnormal tone, earnings announcements, and the stock market

David Ardia; Keven Bluteau; Kris Boudt

doi:10.1016/j.finmar.2021.100683

Media abnormal tone, earnings announcements, and the stock market

David Ardia, Keven Bluteau, Kris Boudt

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9 Citaten (Scopus)

Samenvatting

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.

Originele taal-2	English
Artikelnummer	100683
Tijdschrift	Journal of Financial Markets
Volume	61
DOI's	https://doi.org/10.1016/j.finmar.2021.100683
Status	Published - nov. 2022

Bibliografische nota

Funding Information:
We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George Hübner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Gaëlle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ordás Criado, Christophe Perignon, Jérôme Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montréal, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Québec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada ( https://fwo.be ), Innoviris, Belgium ( https://innoviris.brussels ), IVADO, Canada ( https://ivado.ca ), and the Swiss National Science Foundation ( https://www.snf.ch , grants #179281 and #191730 ) for their financial support.

Funding Information:
We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George Hübner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Gaëlle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ordás Criado, Christophe Perignon, Jérôme Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montréal, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Québec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada (https://fwo.be), Innoviris, Belgium (https://innoviris.brussels), IVADO, Canada (https://ivado.ca), and the Swiss National Science Foundation (https://www.snf.ch, grants #179281 and #191730) for their financial support.

Publisher Copyright:
© 2021

Copyright:
Copyright 2022 Elsevier B.V., All rights reserved.

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@article{6f1e853928df432a87fd97e41b0b3346,

title = "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.",

author = "David Ardia and Keven Bluteau and Kris Boudt",

note = "Funding Information: We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George H{\"u}bner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Ga{\"e}lle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ord{\'a}s Criado, Christophe Perignon, J{\'e}r{\^o}me Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montr{\'e}al, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Qu{\'e}bec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada ( https://fwo.be ), Innoviris, Belgium ( https://innoviris.brussels ), IVADO, Canada ( https://ivado.ca ), and the Swiss National Science Foundation ( https://www.snf.ch , grants #179281 and #191730 ) for their financial support. Funding Information: We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George H{\"u}bner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Ga{\"e}lle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ord{\'a}s Criado, Christophe Perignon, J{\'e}r{\^o}me Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montr{\'e}al, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Qu{\'e}bec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada (https://fwo.be), Innoviris, Belgium (https://innoviris.brussels), IVADO, Canada (https://ivado.ca), and the Swiss National Science Foundation (https://www.snf.ch, grants #179281 and #191730) for their financial support. Publisher Copyright: {\textcopyright} 2021 Copyright: Copyright 2022 Elsevier B.V., All rights reserved.",

year = "2022",

month = nov,

doi = "10.1016/j.finmar.2021.100683",

language = "English",

volume = "61",

journal = "Journal of Financial Markets",

issn = "1386-4181",

publisher = "Elsevier",

}

TY - JOUR

T1 - Media abnormal tone, earnings announcements, and the stock market

AU - Ardia, David

AU - Bluteau, Keven

AU - Boudt, Kris

N1 - Funding Information: We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George Hübner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Gaëlle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ordás Criado, Christophe Perignon, Jérôme Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montréal, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Québec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada ( https://fwo.be ), Innoviris, Belgium ( https://innoviris.brussels ), IVADO, Canada ( https://ivado.ca ), and the Swiss National Science Foundation ( https://www.snf.ch , grants #179281 and #191730 ) for their financial support. Funding Information: We thank the editor (Tarun Chordia), an anonymous referee, Francesco Audrino, Marie-Claude Beaulieu, Samuel Borms, Tolga Cenesizoglu, Serge Darolles, Kilian Dinkelaker, Michel Dubois, George Hübner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Gaëlle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ordás Criado, Christophe Perignon, Jérôme Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montréal, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Québec, 2019), CFE (Pisa, 2018, and London, 2019), and R/Finance (Chicago, 2018) conferences for helpful comments. We acknowledge the Flemish Science Foundation, Canada (https://fwo.be), Innoviris, Belgium (https://innoviris.brussels), IVADO, Canada (https://ivado.ca), and the Swiss National Science Foundation (https://www.snf.ch, grants #179281 and #191730) for their financial support. Publisher Copyright: © 2021 Copyright: Copyright 2022 Elsevier B.V., All rights reserved.

PY - 2022/11

Y1 - 2022/11

N2 - 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.

AB - 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.

UR - https://doi.org/10.1016/j.finmar.2021.100683

UR - http://www.scopus.com/inward/record.url?scp=85118753196&partnerID=8YFLogxK

U2 - 10.1016/j.finmar.2021.100683

DO - 10.1016/j.finmar.2021.100683

M3 - Article

SN - 1386-4181

VL - 61

JO - Journal of Financial Markets

JF - Journal of Financial Markets

M1 - 100683

ER -

Media abnormal tone, earnings announcements, and the stock market

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