Anmerkungen:
In: International Review of Financial Analysis, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 30, 2020 erstellt
Beschreibung:
We find that media tone reflects firm-level expected returns — firms with low-negative tone stories over a few months earn higher returns in the medium to long term than do firms with high-negative tone stories. The tone premium is driven by consistent outperformance of low-negative stocks, while high-negative stocks do not produce significant abnormal returns. The media tone effect is associated with some common risk factors, among which the size factor plays a consistent and most significant role. The tone effect also reflects differences in firms' idiosyncratic risk, and there is evidence that it is partially related to mispricing and limits to arbitrage