Curbing Enthusiasm: Media Sentiment and the Disciplining Role of Quarterly Earnings Announcements
研究发现，媒体情绪驱动的季度回报在盈余公告后大幅反转，表明季度盈余公告能有效约束媒体情绪相关的错误定价，对投资者和市场效率有启示。
ABSTRACT A longstanding literature suggests that earnings provide the market with relevant information about firm performance, but one often overlooked benefit is their role in disciplining market expectations. This study examines the role of earnings announcements in constraining potential mispricing associated with firm-specific media sentiment. We show that media sentiment-driven quarterly returns (orthogonal to risk factors and fundamental news) largely reverse when public earnings are released. Our results suggest that quarterly earnings announcements play an important role in reducing media sentiment-related mispricing. Data Availability: Data are available from the public sources cited in the text. JEL Classifications: G14; L82; M41.