Do Latent Optimistic or Pessimistic Sentiments within Media Reports of Earnings Announcements and Operation Information Contain Information Content about Financial Stocks?

• Main Authors: Wen-Shun Wen, 温文順
• Other Authors: Yang-Cheng Lu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/12659923932638267848

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 98 === The present study extended the research designs of Vega (2006) and Demers and Vega (2008) to analyze sentiments present within media reported earnings announcements and operation information, and whether correlations existed between the cumulative abnormal returns before and after earnings announcements. The application value of public information and latent media sentiments were further elucidated. The present study firstly investigated how public information prior to announcement day influenced post-announcement drift. The research by Vega (2006) on public information and quarterly earnings announcement day as event day was referenced. The present study referenced Vega’s (2006) proxy variable of public information and constructed the media coverage (MEDIA) and information impact (SUR) of public information disclosure level defined as pre-earnings announcement public coverage. In addition, with reference to Demers and Vega (2008), net optimism level (SR) of related pre-earnings announcement news coverage content and wording was constructed. Moreover, the present study utilized the text mining technique to predict positive/negative cumulative abnormal post-earnings returns. Study results showed that pre-earnings announcement public information net optimism level (SR) and public information net optimism weight (SRW) correlated with cumulative abnormal post-earnings returns(CAR), with positive pre-announcement correlation, and negative post announcement correlation. This indicated public information had reflected on the pre-announcement cumulative abnormal returns. This implied a trader competent at interpreting such information would tend to become involved in the stocks prior to earnings announcement and make a profit after the earnings announcement. This also suggested optimistic and pessimistic sentiments in pre-announcement public information contained useful information that could become meaningful under certain degrees of interpretation.