Research and publications
Media and Investment Management
This paper measures the differential impact of alternative media outlets. We classify news items about equity hedge funds over 1999 to 2008 into three source groups: General newspapers, Specialized magazines, and Corporate Communication. Applying a textual analysis to news items, we uncover three types of media biases. First, a reporting style bias, that is, when a fund is covered by multiple sources at the same time, the sentiment is most positive in Corporate coverage and least in General coverage. The differences in source sentiment are more significant in cases of exclusive coverage, indicating a second bias, editorial selection. Finally, examining post-coverage, sentiment-adjusted fund performance, we document that Corporate-covered funds outperform and General-covered funds underperform, with a performance difference of about 11% annually.
Author(s):
Gideon Ozik, Ronnie Sadka
Summary:
This paper measures the differential impact of alternative media outlets. We classify news items about equity hedge funds over 1999 to 2008 into three source groups: General newspapers, Specialized magazines, and Corporate Communication. Applying a textual analysis to news items, we uncover three types of media biases. First, a reporting style bias, that is, when a fund is covered by multiple sources at the same time, the sentiment is most positive in Corporate coverage and least in General coverage. The differences in source sentiment are more significant in cases of exclusive coverage, indicating a second bias, editorial selection. Finally, examining post-coverage, sentiment-adjusted fund performance, we document that Corporate-covered funds outperform and General-covered funds underperform, with a performance difference of about 11% annually.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 17/12/2010 |
| Keywords : |
Alternative Investment |
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