Media abnormal tone, earnings announcements, and the stock market

David Ardia, Keven Bluteau*, Kris Boudt

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

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.

Original languageEnglish
Article number100683
JournalJournal of Financial Markets
DOIs
Publication statusAccepted/In press - 2021

Bibliographical 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 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 H?bner, Alexandre Jeanneret, Tim Kroencke, Marie Lambert, Ga?lle Lefol, Louis Mangeney, Hannes Mohrschladt, Carlos Ord?s Criado, Christophe Perignon, J?r?me Taillard, James Thewissen, Philip Vervliet, seminar participants at Florence University, HEC Montr?al, Skema Business School, and the University of Delaware, as well as participants at AFFI (Nantes, 2021, and Qu?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:
© 2021

Keywords

  • Abnormal returns
  • Abnormal tone
  • Earnings announcements
  • Event study
  • News media
  • Sentometrics
  • Structural Topic Model

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