An analysis of managerial behavior and investors' behavior: text mining approach

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We report on a seasonal pattern, dubbed the Dekansho -bushi effect, that has persisted in the Japanese stock market for more than half a century: Mean stock returns are significantly positive for months during the first half of the calendar year and significantly negative for months during the second half. These seasonal pattern affects the IPOs in Japan. Average initial returns during the first half of the year are significantly higher than those of the second half. On the other hand, companies that go public in the first half of the year show poorer long-run performances, due to the higher prices around IPOs.We also investigate media influence on stock returns that are revised by sell side analysts. First, media covered stocks demonstrate weaker post announcement returns than their non media covered counterparts. Second, our results indicate that pre event sentiment dictates short-run investor behavior and affects the post announcement return in a significant manner.