Abstract
Information about companies published in a news feed is invariably tinted by emotional tonality. As such, resultingperceptions may influence the opinion of market players, and consequently affect the dynamics of a company’s shareprice. This study aims to evaluate various hypotheses about the impact of the tone of news items regarding dividends,capital expenditures, and development on the stock prices of Russian companies. Information disclosure is extensivelystudied, and there have been limited studies on the effect of disclosures on Russian companies. However, until now, therehave been no research studies which verify hypotheses on the influence of news sentiment on corporate share prices inthe Russian market.
 This analysis was conducted using data from 49 Russian public companies included in the Moscow exchange indexover the period from the end of 2017 to the beginning of 2019. To account for the proximate impact of news items onconsequential market phenomena, an event study methodology was applied in order to estimate and construct themodels of dependency of cumulative abnormal return (CAR) on news tone level, and control for financial and nonfinancialfactors.
 Our results provide evidence for the positive impact of the tone of news texts on the share prices of Russian companies.The increase in news tone by one standard deviation leads to a cumulative abnormal stock return increase of 0.26percentage points. This result is consistent with previous research conducted on data from developed stock markets.Moreover, the relationship between the tone or sentiment level of a news item and the stock price reaction is linear,without the diminishing marginal effect.
 Our conclusions should prompt companies to invest effort in delivering information in a tonally positive way,highlighting the most positive news. Investors, in turn, should rationally approach the interpretation of publishedinformation.
Highlights
Recent years have seen a growth in the amount of news about companies in the financial world
Analysis of investor behaviour as regards information disclosure, and in particular regarding the sentiment of conveyed text, is of relevance in the Russian stock market, and the results may differ from the conclusions of previous research [3,4,5]
Russian stock market players tend to respond to the news sentiment
Summary
Recent years have seen a growth in the amount of news about companies in the financial world. Such information, which traders get from various sources, assists them in constructing their trade strategies. The Russian stock market differs significantly from the more often analysed markets of the USA and Great Britain, having a significantly smaller number of companies, smaller amount of capital, and smaller trade volume. While distinctive features of the Russian stock market include a large number of public companies with public capital and an extremely low involvement of population in financial markets, the degree of population involvement grows every year. Analysis of investor behaviour as regards information disclosure, and in particular regarding the sentiment of conveyed text, is of relevance in the Russian stock market, and the results may differ from the conclusions of previous research [3,4,5]
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