Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230791
Authors: 
Chen, Cathy Yi-Hsuan
Fengler, Matthias R.
Härdle, Wolfgang Karl
Liu, Yanchu
Year of Publication: 
2019
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2019-015
Abstract: 
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option variables orthogonalized to public information and tone are more effective predictors of stock returns; (4) overnight tone appears to be more informative than trading- time tone, possibly due to a different thematic coverage of the trading versus the overnight archive; (5) tone disagreement commands a strong positive risk premium above and beyond market volatility.
Subjects: 
option markets
equity markets
stock return predictability
media tone
topic model
JEL: 
G12
G14
G41
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.