Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Conference Presentation |
| Scope | Discipline-based scholarship |
| Title | Aggregate News Tone, Stock Returns, and Volatility |
| Organization Unit | |
| Authors |
|
| Presentation Type | paper |
| Item Subtype | Original Work |
| Refereed | No |
| Status | Published in final form |
| Language |
|
| Page Range | 1 - 162 |
| Event Title | European Financial Association Annual Meeting |
| Event Type | conference |
| Event Location | Cambridge, UK |
| Event Start Date | August 28 - 2013 |
| Event End Date | August 31 - 2013 |
| Abstract Text | We examine whether soft information in rm-speci c news contains valuable information about aggregate stock returns and volatility. Using a large data set in which the language of millions of rm-speci c news items has been quanti ed, we construct two novel measures: The aggregate level of news tone and the aggregate dispersion of news tone. We nd aggregate news tone to be more closely related to economic factors than investor sentiment. The dispersion of news tone leads measures of analyst disagreement and forecasts aggregate stock returns with a negative sign in times of high short-sale constraints. Furthermore, the dispersion of news tone is countercyclical, asymmetric, and forecasts realized variance. Our ndings suggest that dispersion of soft rm-speci c news serves as a high-frequency measure of disagreement and lend support to models on disagreement and short-sale constraints. |
| PDF File |
Download
|
| Export |
BibTeX
|