Giving content to investor sentiment: The role of media in the stock market
Giving content to investor sentiment: The role of media in the stock market
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DOI：
10.1111/j.1540-6261.2007.01232.x
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发表时间：
2007-06-01
影响因子：
8
通讯作者：
Tetlock, Paul C.
中科院分区：
文献类型：
--
作者：
Tetlock, Paul C.
我使用《华尔街日报》一个受欢迎的专栏的每日内容来定量衡量媒体和股市之间的互动。我发现，媒体悲观情绪高涨预示着市场价格将面临下行压力，随后将回归基本面，而异常高或低的悲观情绪预示着市场交易量将很高。这些和类似的结果与噪声和流动性交易者的理论模型是一致的，与媒体内容作为基本资产价值新信息的代理，作为市场波动的代理，或作为与资产市场无关的杂耍的理论不一致。
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.