Premium
Is No News Good News?: The Streaming News Effect on Investor Behavior Surrounding Analyst Stock Revision Announcement
Author(s) -
Azuma Takahiro,
Okada Katsuhiko,
Hamuro Yukinobu
Publication year - 2014
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12027
Subject(s) - stock (firearms) , proxy (statistics) , business , event study , event (particle physics) , financial economics , econometrics , economics , advertising , monetary economics , computer science , history , context (archaeology) , physics , archaeology , quantum mechanics , machine learning
We investigate media influence on stock returns that are revised by sell‐side analysts. Our main findings are twofold. First, post‐announcement returns depend on whether the stock is covered by the media. Media‐covered stocks demonstrate weaker post‐announcement returns than their non‐media‐covered counterparts. Second, for media‐covered event samples, we create a sentiment proxy using a unique news word count method and investigate whether pre‐event sentiment affects post‐event returns. Our results indicate that pre‐event sentiment dictates short‐run investor behavior and affects the post‐announcement return in a significant manner.