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

我们报告了一种被称为Dekansho-bushi效应的季节性模式，这种模式在日本股市持续了半个多世纪：日历年的上半年有几个月的平均股票回报率显著为正，而下半年有几个月的平均股票回报率显著为负。这些季节性模式影响了日本的IPO。上半年的平均初始回报率明显高于下半年。另一方面，上半年上市的公司，由于IPO价格较高，长期业绩较差。我们还调查了媒体对卖方分析师修正的股票收益率的影响。首先，媒体覆盖的股票表现出较弱的公告后回报比他们的非媒体覆盖的同行。第二，我们的研究结果表明，事件前的情绪决定了短期投资者的行为，并影响公告后的回报显着的方式。

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.