Case Study: Press Release Sentiment as a Stock Price Signal

At MarketPsych, we've long perceived Press Releases as less valuable than premium news feeds, since press releases are paid corporate news, designed to capture attention.

But... they are quite valuable as a stock price signal. In recent research with LSEG Data & Analytics we see that positive press releases are predictive of higher share price returns.

In this study, company-level sentiment scores are ranked each month based on the companies' average press release sentiment from major newswires (Business Wire, PR Newswire, and Globe newswire) provided as part of the machine-readable news suite at LSEG. 

Firms were binned into deciles based on the prior one-month average press release sentiment. The subsequent forward returns over 90 days were plotted for the average forward return of each decile. This was done for a 5-year period from 2020-2024.

The findings reveal a robust and economically meaningful signal for firms with frequent POSITIVE press releases. Share prices of firms in the top sentiment quintile outperformed those in the lowest quintile by 0.36% over 30 days, 0.98% over 60 days, and 1.44% over 90 days, translating to over 5% annually (no TCs). 

These return spreads are significant, particularly at longer horizons, and for the top two deciles of positivity. Stock prices gradually incorporate positive corporate tone in LSEG's collection of machine-readable press releases. A whitepaper is available describing this research - please contact us to receive a copy.