Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index

Thompson, Robert B.; Olsen, Chris; Dietrich, J. Richard

doi:10.2307/2491017

Cited by 96 publications

(2 citation statements)

References 12 publications

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“…Those have found that particular announcements, such as those pertaining to dividends and earnings (Damodaran, 1989) (Haugen, Talmor & Torous, 1991) and news (Cutler, Poterba & Summer, 1998) explain only part of the market activities. However, other studies have found that the frequency with which news is reported is related to market participants' activities in the market (e.g., Penman, 1987;Thompson, Olsen & Dietrich, 1987;Berry & Howe, 1994). In favor of the relationship between news and market activities, this study predicts that market reaction to the disclosure of internal control problems is incorporated into the stock price (bid and ask price) following the filing date of the 10-K or 10-Q.…”

Section: Hypothesis Developmentmentioning

confidence: 72%

The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302

Kwon

2016

AFR

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This study examines the relationship between firms' internal control problems and the bid-ask spread using a sample of firms that disclose the effectiveness of internal controls in financial reports under Section 302 of the Sarbanes-Oxley Act (SOX). The bid-ask spread has been used as a proxy for information asymmetry among market participants. By controlling other variables that affect the bid-ask spread, this study shows that the bid-ask spread of ineffective firms has different patterns from that of effective firms in three windows (before, around, and after disclosure). Even though the bid-ask spread of ineffective and effective firms before disclosure is the same, the ineffective firms show higher (lower) bid-ask spread than did effective firms around (after) disclosure. Moreover, the results show that the difference in the bid-ask spread between the two groups of firms after disclosure disappears over time. These results indicate that internal control problems affect market participants' perceptions of financial statements initially, but over time, participants attempt more actively to understand the financial reporting of firms with internal control problems than of those without.

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Section: Hypothesis Developmentmentioning

confidence: 72%

The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302

Kwon

2016

AFR

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“…To answer this question we exploit the existence of a taxonomy from the accounting literature that can be used to label each story with one or more categories from a list of 12 categories [15]. We further expanded this list into 21 categories, which are shown in Table 3.…”

Section: Discussionmentioning

confidence: 99%

Intelligent information triage

Macskassy

Provost

2001

Proceedings of the 24th Annual International ACM SIGIR Conference on Research and Development in Information Retrieval

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In many applications, large volumes of time-sensitive textual information require triage: rapid, approximate prioritization for subsequent action. In this paper, we explore the use of prospective indications of the importance of a time-sensitive document, for the purpose of producing better document filtering or ranking. By prospective, we mean importance that could be assessed by actions that occur in the future. For example, a news story may be assessed (retrospectively) as being important, based on events that occurred after the story appeared, such as a stock price plummeting or the issuance of many follow-up stories. If a system could anticipate (prospectively) such occurrences, it could provide a timely indication of importance. Clearly, perfect prescience is impossible. However, sometimes there is sufficient correlation between the content of an information item and the events that occur subsequently. We describe a process for creating and evaluating approximate information-triage procedures that are based on prospective indications. Unlike many informationretrieval applications for which document labeling is a laborious, manual process, for many prospective criteria it is possible to build very large, labeled, training corpora automatically. Such corpora can be used to train text classification procedures that will predict the (prospective) importance of each document. This paper illustrates the process with two case studies, demonstrating the ability to predict whether a news story will be followed by many, very similar news stories, and also whether the stock price of one or more companies associated with a news story will move significantly following the appearance of that story. We conclude by discussing how the comprehensibility of the learned classifiers can be critical to success.

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Bank deposits and Google searches in a crisis economy: Bayesian non‐linear evidence for Greece (2009–2015)

2020

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Due to a variety of reasons, the Greek economy faced a severe crisis being a member of EMU. Nonetheless, the country's banking system experienced a dramatic outflow of deposits, in the period 2009–2015. The present paper attempts to shed light on the possibility of forecasting bank deposits, based on the keyword “Grexit” of Google searches. In this context, apart from standard forecasting models like AR (p) and ARDL (p, q) we estimate a novel Neural Network ARDL (p, q, G) model and its respective Bayesian modification. We show that extending standard autoregressive models with the information provided by Internet Searches leads to significant improvement in the forecasting accuracy of the Bank Deposits, compared with other standard models. Furthermore, the forecasting performance of the models, which are extended with Google searches, is shown to be better than models containing only the well‐known indicators. Our findings are robust and econometrically sound.

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Attributes of News about Firms: An Analysis of Firm-Specific News Reported in the Wall Street Journal Index

Cited by 96 publications

References 12 publications

The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302

The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302

Intelligent information triage

Bank deposits and Google searches in a crisis economy: Bayesian non‐linear evidence for Greece (2009–2015)

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