Media Impacts around Earnings Announcement Dates with Consideration of Investor Types and Market Scenarios

Translated Titles





盧陽正(Yang-Cheng Lu);魏裕珍(Yu-Chen Wei)

Key Words

媒體曝光度 ; 投資人類型 ; 盈餘宣告 ; 市場情境 ; 交易行為 ; Media coverage ; investor types ; earnings announcements ; market scenarios ; trading behavior



Volume or Term/Year and Month of Publication

22卷3期(2014 / 09 / 30)

Page #

73 - 104

Content Language


Chinese Abstract


English Abstract

This study examines the impacts of media reports prior to earnings announcements on trading behaviors in the Taiwan stock market. The results reveal that media coverage prior to earnings announcements has positive impacts on the price changes and volatility initiated by foreign investors, with the findings being consistent in both bull and bear markets. There exists a positive relation between media coverage and trading volatility for individual traders; however, there is no significant relation between the media and price changes. We argue that a firm's media exposure leaves investors with diverse impressions, ultimately influencing their trading behavior.

Topic Category 社會科學 > 經濟學
社會科學 > 財金及會計學
  1. Demers, Elizabeth A., and Clara Vega, 2011, Linguistic tone in earnings announcements: News or noise? Working paper
  2. Ahern, Kenneth R.,Sosyura, Denis(2012).Who writes the news? Corporate press releases during merger negotiations.Journal of Finance,69,241-291.
  3. Arnott, Robert D.,Hsu, Jason,Moore, Philip(2005).Fundamental indexation.Financial Analysts Journal,61,83-99.
  4. Ball, Ray(1992).The earnings-price anomaly.Journal of Accounting and Economics,15,319-345.
  5. Barber, Brad M.,Lee, Yi-Tsung,Liu, Yu-Jane,Odean, Terrance(2009).Just how much do individual investors lose by trading?.Review of Financial Studies,22,609-632.
  6. Barber, Brad M.,Odean, Terrance(2008).All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors.Review of Financial Studies,21,785-818.
  7. Barclay, Michael J.,Warner, Jerold B.(1993).Stealth trading and volatility: Which trades move prices?.Journal of Financial Economics,34,281-305.
  8. Beaver, William H.(1986).The information content of annual earnings announcements.Journal of Accounting Research,6,67-92.
  9. Bernard, Victor L.,Thomas, Jacob K.(1989).Post-earnings announcement drift: Delayed price response or risk premium?.Journal of Accounting Research,27,1-36.
  10. Black, Fischer(1986).Noise.Journal of Finance,41,529-543.
  11. Cai, Bill M.,Cai, Charlie X.,Keasey, Kevin(2006).Which trades move prices in emerging markets? Evidence from China's stock market.Pacific-Basin Finance Journal,14,453-466.
  12. Chakravarty, Sugato(2001).Stealth-trading: Which traders' trades move stock prices?.Journal of Financial Economics,61,289-307.
  13. Chan, Wesley S.(2003).Stock price reaction to news and no-news: Drift and reversal after headlines.Journal of Financial Economics,70,223-260.
  14. Cuñado, Juncal,Gil-Alana, Luis A.,de Gracia, Fernando Perez(2008).Stock market volatility in U.S. bull and bear markets.Journal of Money, Investment and Banking,1,24-32.
  15. Damodaran, Aswath(1989).The weekend effect in information release: A study of earnings and dividend announcements.Review of Financial Studies,2,607-623.
  16. Easley, David,O'Hara, Maureen(1987).Price, trade size and information in securities markets.Journal of Financial Economics,19,69-90.
  17. Ekholm, Anders(2006).How do different types of investors react to new earnings information?.Journal of Business Finance and Accounting,33,127-144.
  18. Engelberg, Joseph,Parsons, Christopher A.(2011).The causal impact of media in financial markets.Journal of Finance,66,67-97.
  19. Fabozzi, Frank J.,Francis, Jack C.(1977).Stability tests for alphas and betas over bull and bear market conditions.Journal of Finance,32,1093-1099.
  20. García, Diego(2013).Sentiment during recessions.Journal of Finance,68,1267-1300.
  21. Grinblatt, Mark,Keloharju, Matti(2000).The investment behavior and performance of various investor types: A study of Finland's unique dataset.Journal of Financial Economics,55,43-67.
  22. Grinblatt, Mark,Keloharju, Matti(2001).What makes investors trade?.Journal of Finance,56,589-616.
  23. Joe, Jennifer R.,Louis, Henock,Robinson, Dahlia(2009).Managers' and investors' responses to media exposure of board ineffectiveness.Journal of Financial and Quantitative Analysis,44,579-605.
  24. Kaniel, Ron,Liu, Shuming,Saar, Gideon,Titman, Sheridan(2012).Individual investor trading and return patterns around earnings announcements.Journal of Finance,67,639-680.
  25. Kaniel, Ron,Saar, Gideon,Titman, Sheridan(2008).Individual investor trading and stock returns.Journal of Finance,63,273-310.
  26. Kyle, Albert S.(1985).Continuous auctions and insider trading.Econometrica,53,1315-1336.
  27. Lee, Charles M.C.(1992).Earnings news and small traders.Journal of Accounting and Economics,15,265-302.
  28. Lee, Charles M.C.,Ready, Mark J.(1991).Inferring trade direction from intraday data.Journal of Finance,46,733-746.
  29. Lu, Yang-Cheng,Wei, Yu-Chen(2009).Classification of trade direction for an equity market with price limit and order match: Evidence from the Taiwan stock market.Investment Management and Financial Innovations,6,135-147.
  30. Mian, Ghulam M.,Sankaraguruswamy, Srinivasan(2012).Investor sentiment and stock market response to earnings news.The Accounting Review,87,1357-1384.
  31. Miller, Merton H.,Modigliani, Franco(1966).Some estimates of the cost of capital to the electric utility industry.American Economic Review,56,333-391.
  32. Pagan, Adrian R.,Sossounov, Kirill A.(2003).A simple framework for analysing bull and bear markets.Journal of Applied Econometrics,18,23-64.
  33. Skinner, Douglas J.,Sloan, Richard G.(2002).Earnings surprises, growth expectations and stock returns or don't let an earnings torpedo sink your portfolio.Review of Accounting Studies,7,289-312.
  34. Tetlock, Paul C.(2007).Giving content to investor sentiment: The role of media in the stock market.Journal of Finance,62,1139-1168.
  35. Tetlock, Paul C.,Saar-Tsechansky, Maytal,Macskassy, Sofus(2008).More than words: Quantifying language to measure firms' fundamentals.Journal of Finance,63,1437-1467.
  36. Vega, Clara(2006).Stock price reaction to public and private information.Journal of Financial Economics,82,103-133.
Times Cited
  1. Wei, Yu-Chen,Lu, Yang-Cheng,Huang, Chia-Chi,Hsu, Yen-Ju(2016).The Impact of Media Reputation on Firm Performance and Market Returns.管理學報,33(4),587-616.
  2. Wei, Yu-Chen,Wang, Dan-Leng,Lu, Yang-Cheng,Chen, Jen-Nan(2018).The Impact of Media Reputation on Stock Market and Financial Performance of Corporate Social Responsibility Winner.臺大管理論叢,28(1),87-140.
  3. 魏裕珍,盧陽正,許嫣茹(2018).The Effect of Classified News Sentiment on Trading Behavior.證券市場發展季刊,30(4),91-148.