The Impact of Earning Press Releases Sentiment on Abnormal Stock Returns and Volatility

Yiqin Zhang

doi:10.54691/mg2dfg33

Authors

Yiqin Zhang

DOI:

https://doi.org/10.54691/mg2dfg33

Keywords:

Earning Press Releases; Tone; Stock Returns; Volatility; Event Study.

Abstract

This dissertation investigates the impact of sentiment in earnings press releases on abnormal stock returns and volatility based on 150 countries from 1 January 2000 to 31 December 2016. Using Henry’s dictionary method for sentiment analysis, the study finds a negative association between optimistic tones in press releases and abnormal stock returns, implying that highly positive sentiment may trigger lower market reactions. Additionally, the results indicate that positive sentiment in press releases leads to reduced abnormal volatility both immediately and consistently over a period of 5 days, 10 days, and 30 days. These findings remain robust even after accounting for the impact of the 2008 financial crisis. By addressing both short-term and long-term effects, this research contributes to the literature on enhancing the understanding of how effectively investors incorporate sentiment from press releases into their trading behaviours.

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