News sentiment and sovereign credit risk

We examine the impact of firm‐specific investor sentiment (FSIS) on stock returns for negative and positive earnings surprises. Using a measure constructed from firm‐specific tweets, we find that FSIS has a greater impact on stock returns for negative relative to positive earnings surprises. We further show that the impact of FSIS is greater for firms whose valuation is uncertain and difficult to arbitrage. Moreover, we provide evidence of return reversals over post‐announcement periods. Our results highlight the importance of FSIS around earnings announcements.

Section: Introductionmentioning

confidence: 65%

Twitter investor sentiment and corporate earnings announcements

Karampatsas

Malekpour

Mason³

et al. 2022

“…Bajo et al (2020) find that newspaper coverage of firms in conflict of interest is greater, with fewer negative and uncertain words. Among recent studies, Cathcart et al (2020) analyze the impact of media tone (proxied from Thomson Reuters News Analytics database) on credit default swaps and find significant results. Gao et al (2020) find that the institutional investor sentiment assists to tilt the stock prices towards the intrinsic value.…”

Section: Literature Reviewmentioning

confidence: 99%

Whose speeches impact European markets: ECB's or the national central banks'?

Anand

Basu

Pathak

et al. 2021

We quantify the tone from the speeches of the European Central Bank (ECB) as well as that from the national central banks of six leading European nations and analyze its role in explaining the returns of their respective stock market indices. Using recent innovations in financial text analysis, we find evidence that except for France, all nations' stock indices are significantly associated with the tone of speeches delivered by either the national banks or the ECB (or both). For France, the national stock index volatility is found to be associated with its national central bank speech tone.

“…On top of that, Kurov et al (2019) have discovered appealing and persuasive evidence of informed trading before several important macroeconomic news announcements that prove these announcements indeed move financial markets. Cathcart et al (2020) further posit that news could be of more of an exogenous information nature and is ex ante to the market reaction. All the above evidence shows that macroeconomic variables are an excellent candidate for examining their impact on both micro‐ and macro‐aspects of financial markets.…”

Section: Introductionmentioning

confidence: 99%

US macroeconomic surprises and the emerging‐market sovereign CDS market

Chiu

Tsai

Yin

2022

Our primary aim is to examine whether US macroeconomic surprises affect the slope of the term structure of ‘sovereign credit default swap’ (SCDS) spreads in emerging markets. Our empirical results show that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in emerging countries. We find that the slope values in emerging markets are positively related to future market returns over 1‐ and 2‐day horizons. Our results provide general support for the future informational role played by SCDS spreads for the national stock market within emerging markets.