Media-expressed tone, option characteristics, and stock return predictability
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10452706" target="_blank" >RIV/00216208:11320/22:10452706 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=LnZgx006lp" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=LnZgx006lp</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jedc.2021.104290" target="_blank" >10.1016/j.jedc.2021.104290</a>
Alternative languages
Result language
angličtina
Original language name
Media-expressed tone, option characteristics, and stock return predictability
Original language description
We investigate the informational content of a huge assortment of NASDAQ articles about a joint cross-section of S&P 500 stock return data and related single-stock option data. Splitting the articles into a trading-time and an overnight archive, we distill tone from each of them. We show that media-expressed tone is informative about option markets and that both option data and tone predict stock returns. The predictive power of option variables is robust to partialling out tone, but varies depending on whether tone is from the overnight or the trading-time archive. A potential reason is that the archives differ in terms of their thematic content. Overall, we conclude that the informational content of option data for predicting single-stock returns extends beyond the information summarized in tone and traditional market factors. (c) 2021 Elsevier B.V. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Dynamics and Control
ISSN
0165-1889
e-ISSN
1879-1743
Volume of the periodical
134
Issue of the periodical within the volume
JAN 2022
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
22
Pages from-to
104290
UT code for WoS article
000777226300010
EID of the result in the Scopus database
2-s2.0-85121214527