More Than Words: Quantifying Language to Measure Firms' Fundamentals
发现新闻中负面词汇比例能预测公司盈利和股票收益，投资者会快速将语言信息反映到股价中，对研究市场效率与基本面分析的学者有用。
ABSTRACT We examine whether a simple quantitative measure of language can be used to predict individual firms' accounting earnings and stock returns. Our three main findings are: (1) the fraction of negative words in firm‐specific news stories forecasts low firm earnings; (2) firms' stock prices briefly underreact to the information embedded in negative words; and (3) the earnings and return predictability from negative words is largest for the stories that focus on fundamentals. Together these findings suggest that linguistic media content captures otherwise hard‐to‐quantify aspects of firms' fundamentals, which investors quickly incorporate into stock prices.