TY - GEN
T1 - Quantifying news reports to proxy "Other Information" in ERC models
AU - Chen, Kuo Tay
AU - Lian, Jian Shuen
AU - Hsieh, Yu-Ting
PY - 2009/7/13
Y1 - 2009/7/13
N2 - Many previous studies have investigated how earning announcement affects stock price. They measure the effect by employing earning response coefficient (ERC) models. However, the traditional models did not explicitly consider textual information received by investors. Rather they simply referred to it as ″other information″. However, investoŕs exposure to textual information (e.g. news report) might have significant influence on how stock prices will respond to earning announcements. This study attempts to investigate whether earning surprises cause stock fluctuations and how the effect is influenced by news coverage prior to earning announcements. We find that: (1) earning surprise significantly affects stock price; (2) more news coverage tends to decrease the ERC; (3) positive earning surprises have higher influence on stock price; and (4) different combinations of news sentiment and earning surprise result in different ERC.
AB - Many previous studies have investigated how earning announcement affects stock price. They measure the effect by employing earning response coefficient (ERC) models. However, the traditional models did not explicitly consider textual information received by investors. Rather they simply referred to it as ″other information″. However, investoŕs exposure to textual information (e.g. news report) might have significant influence on how stock prices will respond to earning announcements. This study attempts to investigate whether earning surprises cause stock fluctuations and how the effect is influenced by news coverage prior to earning announcements. We find that: (1) earning surprise significantly affects stock price; (2) more news coverage tends to decrease the ERC; (3) positive earning surprises have higher influence on stock price; and (4) different combinations of news sentiment and earning surprise result in different ERC.
UR - http://www.scopus.com/inward/record.url?scp=67649968076&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=67649968076&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-01393-5_18
DO - 10.1007/978-3-642-01393-5_18
M3 - Conference contribution
AN - SCOPUS:67649968076
SN - 9783642013928
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 161
EP - 168
BT - Intelligence and Security Informatics - Pacific Asia Workshop, PAISI 2009, Proceedings
T2 - Pacific Asia Workshop on Intelligence and Security Informatics, PAISI 2009
Y2 - 27 April 2009 through 27 April 2009
ER -