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G-2021-50

Media abnormal tone, earnings announcements, and the stock market

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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

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Journal of Financial Markets, 61, Paper no: 100683, 2022 BibTeX reference