News and Behavorial Finance

Michal Dzielinski (Inst Swiss Banking)
Monday, November 14, 2011 - 2:00pm
Spandauer Strasse 1, Room 22

There are two aspects to this research, which makes use of recent advances in computer linguisitcs to analyze financial news stories. First, having an ex ante measure of how positive or negative each story was, one can directly test the competing theories of investor under- and overreaction based on all news not just quantitative ones. Furthermore, the literature on earnings and various "self-selected news events" is revisited in order to investigate the impact of news coverage and tone on market reactions to such events.