The Impact of Reputation in the News Reports to the Corporate Performance and Market Returns - The Analysis of Average Phenomenon, Economic Cycle and Size Effect

• Main Authors: Chia-Chi Huang, 黃嘉淇
• Other Authors: Yang-Chen Lu
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/59883358168201481172

碩士 === 銘傳大學 === 財務金融學系碩士班 === 102 === This purpose of the study is investigating the impact of media reputation on corporate performance of stock listed in the Taiwan Stock Exchange (TWSE). Nearly 2 million daily financial media reports are collected from the InfoTimes and the United Daily News (UDN), and the monthly financial data is obtained from the Taiwan Economic Journal (TEJ), the research period which covers 84 months during January 2006 to December 2012. The main contribution in this study is applied to linguistic analysis to construct the proxies of media reputation, the news sentiment including the media coverage (MEDIA) and the degree of net optimism measure by term frequency (SRtf) and semantic orientation (SRso). The empirical results show that the performance of reported corporations are better than the non-reported corporations. However, the media coverage (MEDIA) and the degree of net optimism calculated by semantic orientation (SRso) is significantly positive impact on corporate performance, such as the market value to book value (MV/BV), earnings per share (EPS), and the natural logarithm of net sales (lnNS). Specially, the media reputation has negative effects for the monthly stock returns (Ret) and the price to EPS ratio (P/E Ratio). Besides, the study also applied robustness analysis to measure the difference of the economic cycle and size effect during the reported firms and non-reported firms respectively. The robustness analysis supports our results of this study. Generally speaking, a good media reputation is a critical influence on the creation of potential value by the corporation.