Abnormal tone and abnormal returns: An event study analysis

Titre du projet

Description

We propose the Cumulative Abnormal Tone (CAT) framework for tracking the normal and abnormal dynamics of textual tone around events. In our framework, we use text-mining techniques to derive the normal tone based on market and sector-wide news. We then focus on corporate events and track the abnormal tone dynamics around that event. This leads to a cumulative abnormal tone chart. We apply the CAT framework to the analysis of cumulative abnormal returns across earnings press releases. We find that the analysis of firm’s abnormal tone provides investors with relevant predictive information on the firm’s stock performance.

Chercheur principal

Bluteau, Keven

Statut

Completed

Date de début

1 Juillet 2018

Date de fin

31 Décembre 2019

Chercheurs

Boudt, Kris

Organisations

Institut d'analyse financière