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1、THEJOURNALOFFINANCE•VOL.LXIII,NO.3•JUNE2008MoreThanWords:QuantifyingLanguagetoMeasureFirms’FundamentalsPAULC.TETLOCK,MAYTALSAAR-TSECHANSKY,andSOFUSMACSKASSY∗ABSTRACTWeexaminewhetherasimplequantitativemeasureoflanguagecanbeusedtopredictindividualfirms’accountingearningsandstockreturns.
2、Ourthreemainfindingsare:(1)thefractionofnegativewordsinfirm-specificnewsstoriesforecastslowfirmearnings;(2)firms’stockpricesbrieflyunderreacttotheinformationembeddedinnegativewords;and(3)theearningsandreturnpredictabilityfromnegativewordsislargestforthestoriesthatfocusonfundamentals.T
3、ogetherthesefindingssuggestthatlinguisticmediacontentcapturesotherwisehard-to-quantifyaspectsoffirms’fundamentals,whichinvestorsquicklyincorporateintostockprices.Languageisconceivedinsinandscienceisitsredemption—W.V.Quine,TheRootsofReferenceAVOLUMINOUSLITERATUREEXAMINEStheextenttowhic
4、hstockmarketpricesin-corporatequantitativeinformation.Althoughfewresearchersstudytheim-pactofqualitativeverbalinformation,therearecompellingtheoreticalandempiricalreasonstodoso.1Theoretically,efficientfirmvaluationsshouldbeequaltotheexpectedpresentdiscountedvalueoftheircashflowscondit
5、ionaloninvestors’informationsets,whichincludequalitativedescriptionsoffirms’businessenvironments,operations,andprospectsinthefinancialpress.Empir-ically,substantialmovementsinfirms’stockpricesdonotseemtocorrespondtochangesinquantitativemeasuresoffirms’fundamentals(e.g.,Shiller(1981),R
6、oll(1988),andCutler,Poterba,andSummers(1989)),suggestingthatquali-tativevariablesmayhelpexplainstockreturns.∗TetlockiswiththeFinanceDepartmentandSaar-TsechanskyiswiththeInformation,Risk,andOperationsManagementDepartmentattheUniversityofTexasatAustin,McCombsSchoolofBusiness.Macskassyis
7、withFetchTechnologies.Theauthorsaregratefulforassiduousre-searchassistancefromJieCaoandShumingLiu.WeappreciatehelpfulcommentsfromBradBarber,JohnGriffin,AlokKumar,TerryMurray,DavidMusto,TerranceOdean,ChrisParsons,MitchellPetersen,LauraStarks,JeremyStein,andSheridanTitman,andfromseminar
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