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Giving content to investor sentiment: the role of media in the stock market

Tetlock, Paul C. - ;

I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets..Printed Journal


Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit: The American Finance Association
Edisi-
SubjekModels
Volatility
Securities Markets
Market prices
studies
Media coverage
ISBN/ISSN221082
KlasifikasiNONE
Deskripsi Fisik-
Info Detail SpesifikJOF6203 ; BACA DITEMPAT
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

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