Market News Research Articles

Post-earnings announcement drift and parameter uncertainty: evidence from industry and market news

Post-earnings announcement drift (PEAD), one of the most prominent and robust return anomalies, is often attributed to investor naivete or irrationality. A competing explanation is parameter uncertainty, which posits that PEAD may occur as rational investors encounter parameter uncertainty and must learn about the true values of a firm’s pricing parameters over time. This study extends the parameter uncertainty explanation for PEAD and hypothesizes that industry or market news arriving during the drift period affects drift strength. Consistent with our hypothesis, we find that the prices of high surprise firms show stronger responses to industry/market news in the drift period. Hence, the drift becomes stronger (weaker or reversed) when drift-period industry/market news agrees (disagrees) with a firm’s prior earnings news. The evidence helps to distinguish the parameter uncertainty theory from competing behavioral explanations based on investor naivete or irrational biases, a task previous studies find difficult. Overall, our findings indicate that asset pricing anomalies need not imply investor irrationality—anomalies could arise from rational investors learning about pricing parameters over time.

Accessing the Equity Return Volatility Effect of East and South Asian Nations: The Econometrics Modelling Method

In financial management, the equity market performance is the critical element of equity market returns volatility wherever the shareholder’s resilience around the instability subsists. The data is collected from the authenticated secondary sources for the analysis. This paper shows that the 2008economicpredicament, as well as the effect above proceeding developing financial prudence of the globe, is found in the equity return instability connation of developing financial prudence (2004-2015). By the GARCH model, it can be examined that as the information from the U.S.A. stock market news has an essential consequences on the earnings of the S&P 500 stock market index, the indices of the east, as well as south Asian nations, has also influenced by the news of U.S.A. The GARCH model is estimated for the U.S.A. stock market news has a substantial effect or not on East and South Asian nation's daily share market returns. The outcomes show that market earnings in the equity market in east and south Asian nations are incredibly reliant on their historical earnings. It is found that Tokyo Topic (4.8929) is a highly volatile stock index among the East and South Asian stock returns, and the low volatile stock index is DSEX (0.0068). The news of the U.S.A. stock market has affected the equity market of India, Japan, China, and Korea, which are included in the East and South Asian stock market. In all the country’s share markets, found most significant variance in the equity income instability. This study is essential for the shareholders looking for the diversification in the portfolio, domestic institutional investors and foreign institutional investors

Algorithms and the News: Social Media Platforms as News Publishers and Distributors

With billons of users, social media platforms (e.g. Facebook) are dominant players in a highly-concentrated online news market. They have great power over the distribution of information to their users, and over the organizations and individuals that produce it. Social media platforms use algorithms to perform functions traditionally belonging to news editors: deciding on the importance of news items and how they are disseminated. However, they do not acknowledge the role they play in informing the public as traditional news media always have and tend to ignore that they also act as publishers of news and the responsibilities associated with that role. This paper argues that it is essential for social media platforms to understand and embrace their role as both news publishers and distributors and highlights the essential responsibilities they must undertake so they can satisfy the information needs of their audiences and protect the public’s right to information.

Impact of the Asset Purchase Programme on euro area government bond yields using market news

Assessing the impact on sovereign yields of the euro area Asset Purchase Programme (APP) is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. To identify the APP effect, we construct an index which computes the intensity of this discussion in Bloomberg. The econometric results, which are based on real time vintages, suggest that the so-called stock effect with purchases worth about 10% of GDP reduced the GDP-weighted 10-year euro area sovereign yield by 72 basis points, which is equivalent to effects estimated for US and UK programmes, and much larger than those suggested by event studies for the euro area.

ANALISIS ISI SENSASIONALISME BERITA KRIMINAL (STUDI KASUS PROGRAM INEWS DAN KOMPAS SULSEL)

ABSTRACTThis study discusses the Analysis of the Content of Sensationalism in Criminal News (Case Study of the Inews Program of South Sulawesi and KompasSulsel). The basis of this research began because of the fierce competition between television, newspapers and radio and the limitations of the medium, making television shift from the emphasis on public conversation leading to entertainment. There was a tight competition in the Market News. This condition provides an increase in a phenomenon called "sensationalism". Criminal news is classified into sensational news because the topics and images displayed include sensationalism. In addition, criminal news also has the ability to attract the attention of the public. This study aims to compare the level of sensationalism in news programs, especially criminal news on InewsTv and KompasTv, through the InewsSulsel and KompasSulsel programs. From these comparisons, the research method used is content analysis by comparing messages from different sources. This can be seen in the news of Inews-Sulsel and Kompas-Sulsel which are packaged with the selection of certain words in the title, the use of graphics, interesting drawings and information, the borrowing of expert mouths to convey ideas, angle setting for media presentation, music use, songs and repetitive effects so that they are familiar and determine the agenda agenda [agenda setting]. The results showed that the Inews-sulsel news program was more sensational in presenting news about the chaotic case of the Kingdom of Gowa compared to the Kompas-sulsel program.
 Keywords: Analysi; Sensationalism; Criminal News; Television News

IMPROVING INFORMATION LITERACY THROUGH GAMIFICATION: FANTASY BRAND LEAGUES

Undergraduate marketing majors who were enrolled in the senior-level marketing capstone course engaged with current marketing news from credible sources and practiced data visualization as part of a teaching innovation, Fantasy Brand Leagues. The ten-week assignment treated brands like players in a game modeled after Fantasy Football. The assignment improved preparation for class discussion and created a competitive atmosphere where students were more motivated to engage with the content and in-class discussions about current events related to marketing. It improved student confidence in marketing knowledge and data visualization skills and, perhaps most importantly, prepared students for self-directed learning.

Daily market news sentiment and stock prices

ABSTRACT In recent years there has been a tremendous growth in readily available news related to traded assets in international financial markets. This financial news is now available through real-time online sources such as Internet news and social media sources. The increase in the availability of financial news and investor’s ease of access to it has a potentially significant impact on market stock price movement as these news items are swiftly transformed into investors sentiment which in turn drives prices. In this study, we use the Thomson Reuters News Analytics (TRNA) data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index constituents. We use these daily DJIA market sentiment scores to study the influence of financial news sentiment scores on the stock returns of these constituents using a multi-factor model. We augment the Fama–French three-factor model with the day’s sentiment score along with lagged scores to evaluate the additional effects of financial news sentiment on stock prices in the context of this model using Ordinary Least Square (OLS) and Quantile Regression (QR) to analyse the effect around the tail of the return distribution. We also conduct the analysis using the seven-day simple moving average (SMA) of the scores to account for news released on non-trading days. Our results suggest that even when market factors are taken into account, sentiment scores have a significant effect on Dow Jones constituent returns and that lagged daily sentiment scores are often significant, suggesting that information compounded in these scores is not immediately reflected in security prices and related return series. The results also indicate that the SMA measure does not have a significant effect on the returns. The analysis using Quantile Regression provides evidence that the news has more impact on left tail compared to the right tail of the returns.

THE IMPLEMENTATION OF RISK MANAGEMENT OF FOREIGN EXCHANGE INVESTMENT AT PT. BEST PROFIT FUTURES MALANG

This study aimed (1) to determine the risk of forex investments and (2) to figure out the implementation of risk management on forex. This study used descriptive method to examine a brokerage firm located in Malang named PT Best Profit Future Malang. Based on the results, it was found that the risks in forex investment were a floating risk of market circumstances, price change, overnight, interest rates and political event. The analysis used to determine the volatility of the forex market were technical and fundamental analysis. Technical analysis used an accurate historical rates and calculations whereas fundamental analysis used information and market news. Forex investment had a high investment risk if market volatility was not favorable, so the risk management was urgently required. Therefore, there were five risk managements; hold, aver4age, limit loss/locking, switching, and cut loss.

Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach

This work develops and estimates a three-factor term structure model with explicit sentiment factors in a period including the global financial crisis, where market confidence was said to erode considerably. It utilizes a large text data of real time, relatively high-frequency market news and takes account of the difficulties in incorporating market sentiment into the models. To the best of our knowledge, this is the first attempt to use this category of data in term-structure models. Although market sentiment or market confidence is often regarded as an important driver of asset markets, it is not explicitly incorporated in traditional empirical factor models for daily yield curve data because they are unobservable. To overcome this problem, we use a text mining approach to generate observable variables which are driven by otherwise unobservable sentiment factors. Then, applying the Monte Carlo filter as a filtering method in a state space Bayesian filtering approach, we estimate the dynamic stochastic structure of these latent factors from observable variables driven by these latent variables. As a result, the three-factor model with text mining is able to distinguish (1) a spread-steepening factor which is driven by pessimists’ view and explaining the spreads related to ultra-long term yields from (2) a spread-flattening factor which is driven by optimists’ view and influencing the long and medium term spreads. Also, the three-factor model with text mining has better fitting to the observed yields than the model without text mining. Moreover, we collect market participants’ views about specific spreads in the term structure and find that the movement of the identified sentiment factors are consistent with the market participants’ views, and thus market sentiment.

Stock Futures of a Flawed Market Index

I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I first find that overweighted stocks experience higher (lower) returns when an upward (downward) market movement driven by futures trading occurs. Second, they experience lower (higher) returns after such periods, i.e., their performance is reversed. These findings suggest that overweighted stocks experience significant trading pressure from the transactions of the index futures, resulting in mispricing of individual stocks. By contrast, such price behavior is not observed for non-constituent stocks. These results strongly support the view that the transactions of stock futures of a flawed index cause mispricing in individual stocks.

Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach

This work develops and estimates a three-factor term structure model with explicit sentiment factors in a period including the global financial crisis, where market confidence was said to erode considerably. It utilizes a large text data of real time, relatively high-frequency market news and takes account of the difficulties in incorporating market sentiment into the models. To the best of our knowledge, this is the first attempt to use this category of data in term-structure models. Although market sentiment or market confidence is often regarded as an important driver of asset markets, it is not explicitly incorporated in traditional empirical factor models for daily yield curve data because they are unobservable. To overcome this problem, we use a text mining approach to generate observable variables which are driven by otherwise unobservable sentiment factors. Then, applying the Monte Carlo filter as a filtering method in a state space Bayesian filtering approach, we estimate the dynamic stochastic structure of these latent factors from observable variables driven by these latent variables. As a result, the three-factor model with text mining is able to distinguish (1) a spread-steepening factor which is driven by pessimists’ view and explaining the spreads related to ultra-long term yields from (2) a spread-flattening factor which is driven by optimists’ view and influencing the long and medium term spreads. Also, the three-factor model with text mining has better fitting to the observed yields than the model without text mining. Moreover, we collect market participants’ views about specific spreads in the term structure and find that the movement of the identified sentiment factors are consistent with the market participants’ views, and thus market sentiment.

What Drives Populist Styles? Analyzing Immigration and Labor Market News in 11 Countries

The success of populist political actors in Western democracies and the dramatization and emotionality of political communication in news media have been the object of several theoretical and empirical studies in the past decade. It has been argued that the mediatization of politics and the convergence of populist and tabloid communication styles foster these developments by mutual promotion in mass communication. This article uses a cross-national quantitative content analysis to disentangle associations among news genres, populist actors, content, and style. In spite of indisputable prevalence of populist styles in tabloid style media, populist ideology is identified as their strongest source.

The intertemporal risk-Return relation, investor behavior, and technical trading profits: evidence from the G-7 countries

ABSTRACTThe intertemporal risk-return relation and investor behavior are both important pricing factors that jointly determine the expected market risk premium. Using the price adjustment process as a control variable, we find that the intertemporal risk-return relation is positive conditional on bad market news, but is non-positive conditional on good market news. This implies that good (bad) market news weakens (strengthens) the positive risk-return relation. The pattern in the distortion of the risk-return relation is consistent with short-term mispricing in which investors overvalue (undervalue) the stock market in reaction to good (bad) market news. We also show that ignoring the price adjustment process in the estimation of the risk-return relation leads to model misspecification and induces an upward (downward) bias in estimates of the relative risk aversion parameter conditional on good (bad) news. Our model of the asymmetric risk-return relation along with the price adjustment process is capable of generating the return dynamics that is attributable to technical trading profits. We suggest that the profitability of technical trading rules is not a violation of market efficiency, but a consequence of trading rules exploiting the asymmetric effect of price changes on the risk-return relation, along with the persistence property of price changes.

Dealing with Defeat: Dutch Brazil (1624) and English Jamaica (1655) in Newspapers from the Habsburg Netherlands

Covering defeat or disaster in print required considerable journalistic finesse in the Southern Netherlandish news market, since the primary role of privileged courantiers in the Habsburg empire was to provide accounts of royal successes. This article investigates the ways in which the Antwerp printer-publisher Abraham Verhoeven and Brussels newsman Pierre Hugonet covered two main Atlantic events with a negative outcome for the Habsburg monarchy: the Dutch invasion of Brazil in 1624 and the English capture of Jamaica in 1655 respectively. By comparing these major Atlantic news stories, this article will deepen our understanding of how these gazetteers, who differed in professional background and operated decades apart, dealt with defeat suffered in the Western Hemisphere. It will argue that both newspapermen presented the Habsburg setbacks in a strikingly similar way, using largely the same editorial and rhetorical strategies. This suggests that there appeared to be a ‘discourse of defeat’ in the Habsburg Netherlands, which newspaper publishers adapted to satisfy both their customers and central authorities throughout the seventeenth century. This ‘discourse of defeat’, however, was not confined solely to the southern provinces, as Dutch and English courantiers employed similar tactics to cover up bad news. Therefore, government control and pre-emptive censorship, which continue to be considered dominant features of the Southern Netherlandish media landscape, appear to have played a less decisive role in the way newspaper publishers covered defeat than hitherto has been presumed.

Intertemporal risk-return tradeoff in the short-run

We hypothesize that good (bad) market news causes overpricing (underpricing) in the short-term, thereby inducing a weak or negative (significantly positive) intertemporal risk-return tradeoff. We verify this asymmetry through the indirect relation of a weak or positive association between excess market returns and contemporaneous volatility innovations conditional on good news, and a significantly negative relation conditional on bad news. We also show that the inclusion of a price adjustment term is critical for reliable estimation of the intertemporal risk-return relation.

Competition, Choice and Diversity in the Newspaper Trade of the Dutch Golden Age

This article expands on the themes of choice and diversity within a national, competitive news market in the seventeenth-century Dutch Republic. It is often suggested that early newspapers largely copied one another. But that did not mean that these newspaper publishers all made the same choices, or that they adopted the same tone. Rather, they embraced and copied what they liked, and ignored what they did not. The newspaper trade in the Dutch Republic was driven by competition, innovation and diversity. The standards of what made a “good” newspaper were constantly refined during the seventeenth century. Publishers made conscious choices concerning the style, format, price and content of their papers in order to maximise their commercial potential. The diversity of titles was vital to the stimulation and later sustenance of the growing market for periodical news. News readers in the Dutch Republic were offered the greatest range of titles, complementing one another in content and style. If we look close enough at the titles available to us, we can come to a refined understanding of the early burgeoning business of news.

Financial crisis spillover from Wall Street to Main Street: further evidence

We examine the impact of significant news events during the 2007–2008 financial crisis on the abnormal stock returns for portfolios of financial and real sector firms. We estimate financial crisis event announcement abnormal returns in the context of an asset-pricing model similar to Fama and French (J Financ Econ 33:3–56, 1993) and Carhart (J Finance 52:57–82, 1997). Our results document significant negative abnormal returns for the portfolio of non-financial firms in response to both crisis and intervention news, quantifying the significant spillover of financial market news to real sector stock returns. In contrast, while small financial firms also exhibit negative abnormal returns, larger financial institutions do not. In fact, some larger financial institutions, such as depository institutions, yield positive abnormal returns in response to some financial crisis and intervention event announcements. The results provide further evidence of the incorporation of financial sector news events into non-financial asset prices during financial crises and new evidence on the short-term impact of crisis and policy intervention news on both financial and real sector firms.

Asymmetries in the African financial markets

We investigate the asymmetries in the African financial markets; both stock and exchanges markets, namely Botswana, Egypt, Kenya, Mauritius and South Africa. The dataset begins on January 1, 2001 and ends on January 20, 2018, for a total of 4479 trading days. We apply an asymmetric threshold approach with an error-correction model with four dummy variables for both positive/negative and small/large news. Our findings reveal that the foreign exchange markets in Africa are statistically more prone to larger-scale news. We also found a direct reaction to short-term positive/negative stock market news after the global financial crisis. Furthermore, we investigate the total effects of South African economic news releases with an Asymmetric Power Arch model. Our findings suggest substantial discrepancy, which belong to the Southern African Development Community and Common Market for Eastern and Southern Africa free trade area. SADC stock markets are strongly affected by the economic news releases from South Africa.

Evaluating the News: (Mis)Perceptions of Objectivity and Credibility

The introduction and popularity of politically biased news sources represents a significant historical shift in the media environment, with important unexplored consequences. Evidence points to partisan segmentation in the contemporary news market, but while assumptions abound, the mechanism driving consumers to sort along party lines is unclear. I develop a framework for news choice based on perceptions of objectivity and credibility and report a test of its central mechanism using a nationally representative survey experiment. I find support for a congenial media effect, where news content from an unfamiliar source is seen as more credible and less biased when it is consistent with existing beliefs, while balanced news content may be dismissed as less credible and biased. Previous studies have examined how perceptions of bias in identical news content can change when it is attributed to different sources. In today’s media world however, access to more news sources generally and the ease with which content from those sources can be shared makes it increasingly likely people will be exposed to news content from either unknown or potentially fake news sources. This study contributes to the literature by identifying the unique effect of message content on perceptions of news bias and source credibility, while holding source constant. Paradoxically, my findings indicate that political selective exposure may arise out of individuals’ genuine desire for unbiased news.

House price inflation in the news: a critical discourse analysis of newspaper coverage in the UK

In the UK, house prices have been rising over a long period, notwithstanding the disruption caused by the financial crisis, creating growing concerns about affordability particularly for younger households, while existing owners continue to enjoy windfall wealth gains. This paper uses critical discourse analysis to examine how these competing interests with respect to house price rises are represented in popular discourse. It systematically analyses newspaper coverage, comparing two time periods, one relatively stable and the second a period of rising house prices. This analysis exposes the powerful influence of industry insiders in creating the discourse of the housing market news, and how price rises are positioned as both beneficial and the ‘natural order’. Analysing the metaphoric representations of housing markets allows a closer interrogation of the ideological construct that associates a ‘healthy’ housing market as one of continuous price rises and shows how these discourses are deeply embedded, in ways that limit the scope for imagining an alternative house market functioning.