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Stock Market Investors’ Reactions to the Tone of Press Articles
Abstract
Theoretical background: The investigation into investor reactions to non-financial information was motivated by two key considerations. First, within financial theory, an unresolved debate persists regarding how stock market investors discount information. This article references two paradigms central to this issue: the neoclassical and the behavioral. The second motivation stems from the emergence of a new type of data in the literature, known as Big Text, which refers to large, unstructured collections of textual data. This phenomenon is associated with the development of non-financial reporting and the increasing quantity and diversity of information providers in financial markets.
Purpose of the article: The aim of the study was to assess investors' reactions to the content of press articles based on their emotional tone. To achieve this goal, two hypotheses were tested. First, it was hypothesized that the appearance of a press article would be reflected in the stock returns of the companies under study. Second, it was hypothesized that this reaction would be asymmetrical, depending on whether the article's tone was positive or negative.
Research methods: The study focused on companies included in the WIG20 index of the Warsaw Stock Exchange from 2013 to 2022. For these companies, a database of English-language press publications with a high degree of positive or negative emotional tone was constructed. The research was conducted using the event study methodology, with the event defined as the day the article appeared.
Main findings: The results suported the hypotheses. Additionally, differences in the way information was discounted depending on emotional tone were observed. Negative publications triggered strong, abrupt, and short-lived reactions, while reactions to positive publications were weaker and more prolonged over time.
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DOI: http://dx.doi.org/10.17951/h.2025.59.2.143-160
Date of publication: 2025-09-02 13:03:30
Date of submission: 2024-10-12 01:41:19
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