Examining Stock Prices Earns Following A Miss or Beat, Using LSEG MarketPsych Analytics Dataset

There is a 1.3 - 1.5% spread in stock price returns over the 10 days after an earnings miss (or beat) depending on the pre-existing media sentiment tone.

In a new paper using the LSEG MarketPsych Analytics dataset, "Prior Sentiment and Returns Around Earnings", authors H. Christopher Kazemi and Christos Makridis show that media sentiment alters the response of markets to corporate earnings beats and misses.

You can view the paper here: https://lnkd.in/eDwn2p5b