The authors would like to thank the Issue Editor, Sheridan Titman, Sara Ferreira Filipe (the discussant and referee), and participants at the International Review of Finance Conference on Japanese Financial Markets in Tokyo, for helpful suggestions. The authors are also thankful for the financial support by the Grant in Aid in Scientific Research (KAKENHI) and JST-ERATO Minato Discrete Structure Manipulation System Project.
Is No News Good News?: The Streaming News Effect on Investor Behavior Surrounding Analyst Stock Revision Announcement†
Version of Record online: 20 MAR 2014
© 2014 International Review of Finance Ltd. 2014
International Review of Finance
Special Issue: Japanese Financial Markets: Corporate Finance, Institutions, and Investments
Volume 14, Issue 1, pages 29–51, March 2014
How to Cite
Azuma, T., Okada, K. and Hamuro, Y. (2014), Is No News Good News?: The Streaming News Effect on Investor Behavior Surrounding Analyst Stock Revision Announcement. International Review of Finance, 14: 29–51. doi: 10.1111/irfi.12027
- Issue online: 20 MAR 2014
- Version of Record online: 20 MAR 2014
- Grant in Aid in Scientific Research (KAKENHI)
- JST-ERATO Minato Discrete Structure Manipulation System Project
We investigate media influence on stock returns that are revised by sell-side analysts. Our main findings are twofold. First, post-announcement returns depend on whether the stock is covered by the media. Media-covered stocks demonstrate weaker post-announcement returns than their non-media-covered counterparts. Second, for media-covered event samples, we create a sentiment proxy using a unique news word count method and investigate whether pre-event sentiment affects post-event returns. Our results indicate that pre-event sentiment dictates short-run investor behavior and affects the post-announcement return in a significant manner.