Is no news good news? The streaming news effect on investor behavior surrounding analyst stock revision announcement

Abstract

We investigate media influence on stock returns that are revised by sellside analysts. Our main findings are twofold. First, post-announcement returns depend on whether the stock is covered by the media. Media-covered stocks demonstrate weaker post-announcement returns than their non-media-covered counterparts. Second, for media-covered event samples, we create a sentiment proxy using a unique news word count method and investigate whether pre-event sentiment affects post-event returns. Our results indicate that pre-event sentiment dictates short-run investor behavior and affects the post-announcement return in a significant manner.