Media abnormal tone, earnings announcements, and the stock market

, , and

BibTeX reference

We propose a tone-based event study to reveal 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 positive relationship found between the abnormal tone and abnormal returns suggests that media provide incremental information relative to the information contained in earnings press releases and earnings calls.

, 26 pages

Research Axis

Research application


, , and
To appear in: Journal of Financial Markets, Paper no: 100683, 2021 BibTeX reference


G2150.pdf (2 MB)

Additional Material

G2150_IA.pdf (400 KB)