Skip to main content

Research Repository

Advanced Search

Media content and stock returns : the predictive power of press

Ferguson, N.J.; Philip, D.; Lam, H.Y.T.; Guo, M.

Media content and stock returns : the predictive power of press Thumbnail


Authors

N.J. Ferguson

H.Y.T. Lam



Abstract

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981–2010. The results indicate that both tone and volume of news media content significantly predict next period abnormal returns, with the impact of volume more pronounced than tone. Additionally, the predictive power of tone is found to be stronger among lower visibility firms. Further, the paper finds evidence of an attention-grabbing effect for firm-specific news stories with high media coverage, mainly seen among larger firms. A simple news-based trading strategy produces statistically significant risk-adjusted returns of 14.2 to 19 basis points in the period 2003–2010. At the aggregate level, price pressure induced by semantics in news stories is corrected only in part by subsequent reversals. Overall, the findings suggest firm-specific news media content incorporates valuable information that predicts asset returns.

Citation

Ferguson, N., Philip, D., Lam, H., & Guo, M. (2015). Media content and stock returns : the predictive power of press. Multinational finance journal, 19(1), 1-31

Journal Article Type Article
Acceptance Date Nov 1, 2014
Publication Date Mar 1, 2015
Deposit Date Dec 10, 2014
Publicly Available Date Mar 29, 2024
Journal Multinational finance journal : MF : quarterly publication of the Multinational Finance Society.
Print ISSN 1096-1879
Publisher Multinational Finance Society
Peer Reviewed Peer Reviewed
Volume 19
Issue 1
Pages 1-31
Keywords News media content, Stock returns, Textual analysis, News-based trading strategy.
Public URL https://durham-repository.worktribe.com/output/1415750
Publisher URL http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/928.html

Files






You might also like



Downloadable Citations