Wisniewski, Tomasz Piotr and Lambe, Brendan
(2013).
| DOI (Digital Object Identifier) Link: | https://doi.org/10.1016/j.jebo.2011.10.012 |
|---|---|
| Google Scholar: | Look up in Google Scholar |
Abstract
Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker. These findings may imply that journalists not only report on the state of economic reality, but also play an active role in creating it. Investors acting upon sentiment implicit in media reports would have been able to improve their investment performance, as measured by Sharpe ratios and Jensen's alphas.
| Item Type: | Journal Item |
|---|---|
| Copyright Holders: | 2011 Elsevier |
| ISSN: | 0167-2681 |
| Keywords: | Media; Stock market; Financial crisis; Self-fulfilling prophecies |
| Academic Unit/School: | Faculty of Business and Law (FBL) > Business > Department for Accounting and Finance Faculty of Business and Law (FBL) > Business Faculty of Business and Law (FBL) |
| Item ID: | 55383 |
| Depositing User: | Tomasz Wisniewski |
| Date Deposited: | 11 Jun 2018 12:34 |
| Last Modified: | 08 Dec 2018 10:53 |
| URI: | http://oro.open.ac.uk/id/eprint/55383 |
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