Quantifying news reports to proxy "Other Information" in ERC models

Kuo Tay Chen, Jian Shuen Lian, Yu Ting Hsieh

研究成果: Conference contribution

摘要

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.

原文English
主出版物標題Intelligence and Security Informatics - Pacific Asia Workshop, PAISI 2009, Proceedings
頁面161-168
頁數8
DOIs
出版狀態Published - 2009
事件Pacific Asia Workshop on Intelligence and Security Informatics, PAISI 2009 - Bangkok, Thailand
持續時間: 2009 4月 272009 4月 27

出版系列

名字Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
5477
ISSN(列印)0302-9743
ISSN(電子)1611-3349

Other

OtherPacific Asia Workshop on Intelligence and Security Informatics, PAISI 2009
國家/地區Thailand
城市Bangkok
期間09-04-2709-04-27

All Science Journal Classification (ASJC) codes

  • 理論電腦科學
  • 一般電腦科學

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