An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

This article features an analysis of the relationship between the DOW JONES Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia Pacific). The recent growth in the availability of on-line financial news sources, such as internet news and social media sources provides instantaneous access to financial news. Various commercial agencies have started developing their own filtered financial news feeds which are used by investors and traders to support their algorithmic trading strategies. TRNA is one such data set. In this study, we use the TRNA data set to construct a series of daily sentiment scores for DJIA stock index component companies. We use these daily DJIA market sentiment scores to study the relationship between financial news sentiment scores and the stock prices of these companies using entropy measures. The entropy and mutual information (MI) statistics permit an analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the relationship changes over time.     

好消息、坏消息与季报预约披露的时间选择--管理层的组合动机与信息操作

本文构建回归模型并依据中国上市公司数据进行假设检验,考察公司业绩组合(好消息与坏消息的组合)、业绩差异与一季度季报预约披露的时间选择之间的关系以及一季度季报预约披露时间的信息内涵.实证研究显示,由于一季度季报和上年年报均要求在4月30日之前披露的特殊性,上市公司管理层在信息披露的过程中可能存在组合动机与信息操作行为,一季度季报预约披露的时间选择可能关键取决于上年年报和一季度季报预约披露的好消息或坏消息带来的积极影响或消极影响的组合与权衡.     

Framing of economic news and policy support during a pandemic: Evidence from a survey experiment

We examine how news outlets’ communication of macroeconomic information affects policy support during the COVID-19 crisis. In our survey experiment based on a representative sample from Germany, respondents are exposed to an expert forecast of GDP growth. Individuals either receive no information, the baseline forecast, or real-world media frames of the same forecast. We find that positive framing of economic growth increases policy support. This effect is stronger for respondents with more pessimistic macroeconomic expectations. Negatively framed economic news are perceived as more credible and hence less surprising in times of recession, not translating into political opinion.     

Can central bank communication help to stabilise inflation expectations?

This paper examines whether central bank communication stabilises euro area inflation expectations through the information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for visitors’ attention to its communication. We conduct several econometric tests with daily data to measure the impact of ECB communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that website attention, as captured by search volumes of visitors, influences euro area inflation expectations. We find that increased website attention contributes to narrowing the gap between market-based forecasts and (the mean of) longer-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news channel.     

Pessimistic information gathering

An agent gathers information on productivity shocks and accordingly produces on behalf of a principal. Information gathering is imperfect and whether it succeeds or not depends on the agent's effort. Contracting frictions come from the fact that the agent is pessimistic on the issue of information gathering, and there are both moral hazard in information gathering, private information on productivity shocks and moral hazard on operating effort. An optimal menu of linear contracts mixes high-powered, productivity-dependent screening options following “good news” with a fixed low-powered option otherwise.     

Managerial Expectations of Synergy and the Performance of Acquiring Firms: The Contribution of Soft Data

This study examines whether the “soft” information present in merger and acquisition (M&A) announcement press releases contains incrementally valuable news relative to traditional “hard” data. Using the methodology of Loughran and McDonald [2011], we construct measures of synergy expectations and managerial optimism for more than 1,200 M&A announcements over the period 1995–2007. We find that synergy expectations are positively related to announcement period returns, longer-run performance, and the market's reaction to quarterly earnings announcements. Managerial optimism is insignificant for explaining a merger's subsequent performance. We conclude that the soft information contained in M&A announcements concerning synergy expectations can provide useful information to investors.     

Is ‘no news’ really ‘good news’? Country visibility and FDI location choice

In choosing where to invest, firms seek out information on a set of possible locations. Information asymmetries may make country visibility particularly important in decisions to locate investment abroad. We develop a country visibility index based on international news stories in The Economist, and show that broad country visibility is at least as important in attracting foreign direct investment (FDI) as other specific investment promotion activities or proxies for information frictions. Controlling for standard gravity model determinants of FDI, we find that greater visibility of developing countries, in particular lower middle- and low-income countries, increases the investment that they receive from US multinational corporations.     

Inflation Expectations and Monetary Policy Surprises*

We estimate monetary policy surprises for European consumers over time, based on monetary policy changes that were unanticipated according to consumers’ stated beliefs. We find that such monetary policy surprises have the opposite impact on inflation expectations from the impact found when assuming that consumers are well informed. Relaxing the latter assumption by focusing on consumers’ stated beliefs, unanticipated increases in the interest rate raise inflation expectations before the 2008 financial crisis. This is consistent with imperfect information theoretical settings where interest rate hikes are interpreted as positive news about the state of the economy by consumers who know that policymakers have relatively more information.     

Noisy fiscal policy

This paper investigates the macroeconomic effects of fiscal policy in a setting in which private agents receive noisy signals about future shocks to government expenditures. We show how to empirically identify the relative weight of news and noise shocks to government spending and compute the level of noise for Canada, the UK and the US. We then investigate the quantitative implications of imperfect fiscal policy information using a medium-scale DSGE model. We find that when the government seeks to implement a persistent change in expected public spending, the existence of noise (as estimated using actual data) implies a sizable difference in fiscal multipliers compared to the perfect fiscal foresight case.     

Mass media effects on trading activities: television broadcasting evidence from Japan

This study examines how information broadcasting through television (TV) media influences stock market activities. Consistent with the effect of TV information to attract investor attention, we find that increased information flow through TV is significantly associated with greater trading volume and larger price change. For information type, hard news from business-oriented programmes and earnings-related news strongly contributes to the attention effect, while the effect of soft news is weaker. Bid–ask spread widens for more TV information flows, suggesting that new information arrival in the market expands information asymmetry. Finally, the impact of TV is more influential for stocks with more individual shareholders than those with institutional shareholders.     

To what extent do network effects moderate the relationship between social media propagated news and investors’ perceptions?

As a prominent social media tool, Twitter enables prompt dissemination of financial news and information, which can have a substantial impact on investors’ perceptions and decision-making processes. The propagation of financial news and information through Twitter can either positively or negatively affect investors’ perceptions. As per network theory, the impact of information on one's perception and behavior is known as the network effect. Since Twitter is also a network, we tried to contribute more to this theory in this study by considering other factors that can have an impact on the perceptions of investors. We argue that the impact of financial information and news on investors’ perceptions is moderated by other factors such as connectivity, social ties, and network size of the network. To establish the links between them, we considered three key factors in investors’ networks: (1) network connectivity (network structure); (2) social ties circle (friends, family, colleagues); and (3) size of the network (number of contacts). The results of this study indicate that highly connected investors receive more information and hence, the impact of news is derived from the connectivity of investors within the network. The findings of the study also show that the social ties circle plays a crucial role in determining the impact of the news. The findings further indicate that the impact of news on investors’ perceptions also depends on the theme of the news.     

Discount between H Share and A Share from the Perspective of China

The effect of strict segmentation on pricing in the context of the Chinese stock markets was investigated. As an effective complementary to domestic A share market, H share market has played an important role in attracting foreign capital flows into mainland and as an open window for foreign investors to know Chinese enterprises. However, H share has received little attention by researchers. Considered that H share market enjoys relatively more free information and has a greater and faster access to global news sources, The discount between H share and A share is mainly studied in this paper. By constructing the model and based on proposed hypotheses, the empirical test confirms information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects are significant factors in explaining discounts on H share from the cross-section data.     

新闻媒体、资讯特征与资本市场信息效率

我国媒体产业呈现双轨制特色,产业中同时存在政策导向媒体与市场导向媒体.两类媒体的功能定位与激励机制迥然不同,使得两者对资本市场的影响存在差异.文章发现,在资本市场上,媒体主要通过负面报道,促进公司特质性信息反映在股价中,而正面报道则无此作用.在区分政策导向媒体和市场导向媒体后,文章进一步发现,媒体对资本市场信息整合的影响主要体现在政策导向媒体上,市场导向媒体则无显著影响.为了考察这种差异产生的原因,文章对两类媒体在资讯报道方面的文本特征(信息挖掘与信息传递)进行了比较,发现政策导向媒体相对于市场导向媒体进行了更深层次的信息挖掘与更精准的信息传递,这是它对资本市场信息整合更具影响力的真正原因.     

新闻英语语言特征及翻译技巧

由于新闻英语除了拥有新闻英语语言的基本特征,背后还包含了丰富的异域文化信息,形成了一条自己独特的风格特点,因而给新闻翻译者增加不少困难。从侧面也鞭策出新闻翻译者应更加刻苦,须了解新闻英语语言的特点,积累更多的语言文化知识,同时掌握一定的翻译技巧,做好新闻翻译工作。本文探讨分析了新闻英语语言、词汇的特征,并结合这些特征给出了具体的翻译技巧。     

Persistent media bias

The news media plays an essential role in society, but surveys indicate that the public views the media as biased. This paper presents a theory of media bias that originates with private information obtained by journalists through their investigations and persists despite profit-maximizing news organizations and rivalry from other news organizations. Bias has two effects on the demand for news. First, rational individuals are more skeptical of potentially biased news and thus rely less on it in their decision-making. This skepticism reduces demand and leads the news organization to set a lower price for its publication the greater is the bias it tolerates. Lower quality news thus commands a lower price. Second, bias makes certain stories more likely than others. Given their private information, journalists may bias their stories if their career prospects can be advanced by being published on the front page. News organizations can control bias by restricting the discretion allowed to journalists, but granting discretion and tolerating bias can increase profits if it allows journalists to be hired at a lower wage. Bias is not driven from the market by a rival news organization nor by a news organization with an opposing bias, and the profits of a high-bias news organization can be higher than the profits of a low bias one. Moreover, bias can be greater with competition than with a monopoly news organization. If individuals collectively choose regulation in place of their individual decision-making, bias increases the expected stringency of regulation.     

影像新闻伦理与传统纸质媒体新闻伦理的比较研究

当传统的纸质媒体跃进到读图时代，人们接受新闻信息、感知外部环境就更多地通过图像符号来实现。与此同时，影像新闻伦理问题也越来越引起人们的关注。影像新闻伦理是指利用摄影技术所拍摄的图像通过媒体进行新闻传播活动所应遵循的道德观念、道德准则、行为规范以及社会责任与义务的理论化、系统化的阐述。影像新闻伦理与传统纸质媒体的新闻伦理存在着历史上的承继性和逻辑上的相关性，但二者又有着一定的区别。     

Insider trading returns and dividend signals

The literature shows that insider trading activities and dividends contain information content and serve as signals to firm value. If insider return is a proxy for information asymmetry, we should expect a positive relation between dividends and insider returns. Using a sample of unambiguous (good and bad) news concerning earnings and dividend announcements from Hong Kong firms, we show that information asymmetry is stronger for bad news firms with insider sales than good news firms with insider purchases. In addition, we improve the methodology of Khang and King [Khang, K., & King, T. H. D. (2006). Does dividend policy relate to cross-sectional variation in information asymmetry? Evidence from returns to insider trades. Financial Management, 35, 71–94] and provide evidence that dividend is a credible signal for measuring information asymmetry.     

News sentiment and overshooting of exchange rates

In a globalized world, the volume of international trade is based on both import and export prices, thereby making a country’s economy highly dependent on exchange rates. In order to study exchange rate movements, one frequently exploits the so-called Dornbusch overshooting model. However, the model is controversial from a theoretical point of view: it explains exchange rate movements by a number of fundamental variables but ignores how novel information in the form of news can enter the market. As a remedy, this article adjusts for information dissemination by performing a multivariate analysis to compare the classical overshooting model with an extended variant that includes news sentiment. Our results show that news sentiment has a substantial explanatory power of 11% of the exchange rate forecasting error variance. In addition, we also find statistical evidence that a shock in news sentiment may lead to overshooting.     

中国股票市场对政策信息的不平衡性反应研究

本文将影响股票市场的政策信息区分为"好消息"和"坏消息"。通过 EGARCH 模型研究中国股票市场对"好消息"与"坏消息"的不平衡性反应,指出"好消息"对我国股票市场的影响大于"坏消息"的影响,这与国外股票市场的情况正好相反。根据这一结果本文创建了"信息效应曲线",具体分析我国股票市场对"好消息"与"坏消息"的不平衡性反应的特征,提出现有交易机制下的股价波动模式。     

Market News in Commodity Price Theory: Application to the Ethiopian Grain Market

This paper examines the effect of "news" or advance information about future production on competitive storage behaviour and prices using a structural model of commodity markets. In particular, it generalizes the neoclassical storage model to incorporate information on future harvests, while allowing for seasonal production, two features important to African and other developing country grain markets. The model is first developed to suit the case of the Ethiopian grain markets, and a general model is then stated. The effects on welfare and price variability of the addition of news are discussed, as well as changes in key demand and uncertainty parameters. The model is shown to replicate some features of the data better than the model without news, particularly the high autocorrelation in price, and performs better in formal estimation. However, it appears that the incorporation of news still fails to explain the extreme seasonal price movements observed.