News Content, Investor Misreaction, and Stock Return Predictability
Date of Award
August 2016
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Finance
Advisor(s)
David Weinbaum
Keywords
Investor Misreaction, News, Stock Predictability, Textual Analysis
Subject Categories
Business
Abstract
Using a large dataset of news releases, we study instances of investors’ mistaken
reaction, or misreaction, to news. We define misreaction as stock prices moving in the
direction opposite to the news when it is released. We find that news tone predicts returns
in the cross-section only upon the occurrence of misreaction. Stocks that are larger, more
liquid, more visible, and more covered, by analysts or by the media, are less likely to
exhibit misreaction. On the other hand, the ambiguity and complexity of news content,
and variables that proxy for investor distraction, are all associated with more misreaction
and greater predictability.
Access
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Recommended Citation
Hadzic, Muris, "News Content, Investor Misreaction, and Stock Return Predictability" (2016). Dissertations - ALL. 654.
https://surface.syr.edu/etd/654
