关键词: 盈余信息 , 媒体情绪 , 消息类型 , 股票事件研究 , 固定效应模型

Abstract:

This paper utilizes negative words proportion in countrywide financial newspapers to construct the media pessimism index, which measures the media sentimentWe combine the media pessimism index with the panel of earning announcement events during period 2004—2013 to empirically test the effects of the media sentiment on the earning announcement abnormal returns, through which the question on whether investors unbiasedly react to earning information is answeredThe empirical results show: (1)For earning announcements containing the same information, the higher the media pessimism, the lower the announcement abnormal returns(2) The markets reaction of bad news is more pronounced during pessimistic periodsOn the other hand, the markets reaction of good news is more pronounced during optimistic periods(3) The effects of media sentiment are more pronounced for bad news than good newsThe results indicate that the media sentiment effect has an essential impact on the investors interpretation of earning information, and the effect is closely related to the message type.

Key words: earning information , media sentiment , message type , stock event study , fixed effects model