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초록· 키워드
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Prior studies document that media plays a significant role in the financial market by discovering and disseminating company information. However, whether and to what extent the media improves price efficiency remain unaddressed in Korea. Analyzing an unprecedented dataset of Korean business press articles from 2000 to 2017, we report that business press coverage is positively related to idiosyncratic volatility of stock returns, seemingly indicating the incorporation of firm-specific information into stock prices. We then ask whether or not the business articles convey relevant information consistent with firm fundamentals. Based on fundamental value-to-price ratios as a proxy for stock mispricing, we find robust evidence that 1) media coverage is in fact significantly associated with stock mispricing, 2) the mispricing in media-covered stocks is salient only for undervalued firms, and 3) the business articles covering undervalued stocks tend to use negative tones. These findings collectively suggest that the pessimistic tone of the Korean business press is associated with stock undervaluation. Our findings are consistent with prior literature that documents a sentiment effect of media coverage (e.g., Tetlock 2007). The initial evidence reported in this study not only provides practical insights for managers, market participants, and regulators, but also opens a new research avenue for future research.
목차
등록된 정보가 없습니다.
참고문헌 (67)
참고문헌 신청
Ali, A. / 2003 / Residual-income-based valuation predicts future stock returns : Evidence on mispricing vs / risk explanations. The Accounting Review 78(2):377~396
Altman, E. I / 1968 / Financial ratios, discriminant analysis and the prediction of corporate bankruptcy / The Journal of Finance 23(4):589~609
Baker, S. R. / 2016 / Measuring economic policy uncertainty / The Quarterly Journal of Economics 131(4):1593~1636
Barber, B. M. / 2008 / All that glitters : The effect of attention and news on the buying behavior of individual and institutional investors / The Review of Financial Studies 21(2):785~818
Basu, S / 1997 / The conservatism principle and the asymmetric timeliness of earnings / Journal of Accounting and Economics 24(1):3~37
Altman, E. I / 1968 / Financial ratios, discriminant analysis and the prediction of corporate bankruptcy / The Journal of Finance 23(4):589~609
Baker, S. R. / 2016 / Measuring economic policy uncertainty / The Quarterly Journal of Economics 131(4):1593~1636
Barber, B. M. / 2008 / All that glitters : The effect of attention and news on the buying behavior of individual and institutional investors / The Review of Financial Studies 21(2):785~818
Basu, S / 1997 / The conservatism principle and the asymmetric timeliness of earnings / Journal of Accounting and Economics 24(1):3~37
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