Information processing in electronic markets: Measuring subjective interpretation using sentiment analysis

International Conference on Information Systems, ICIS 2012

Volumn 1, Issue , 2012, Pages 683-700

  Liebmann, Michael ^a   Hagenau, Michael ^a   Neumann, Dirk ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Information processing; Sentiment analysis; Text mining

Indexed keywords

COMPLEX INFORMATION; EFFICIENT RESOURCE ALLOCATION; INFORMATION AVAILABILITY; INFORMATION PROCESSING CAPABILITY; QUALITATIVE INFORMATION; SENTIMENT ANALYSIS; TEXT MINING; TEXTUAL INFORMATION;

DATA MINING; ELECTRONIC COMMERCE; INFORMATION SYSTEMS;

DATA PROCESSING;

EID: 84886500985     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (38)

1. Antweiler, W., and Frank, M. 2004. "Is all that talk just noise? The information content of internet stock message boards", The Journal of Finance 59, 1259-1294.
2. Atiase, R. K. 1985. "Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements", Journal of Accounting Research 23, 21-36.
3. Ball, R., and Brown, P. 1968. "An Empirical Evaluation of Accounting Income Numbers", Journal of Accounting Research, 6, pp. 159-178.
4. Bernard, V., and Thomas, J. 1989. "Post-earnings announcement drift: Delayed price response or risk premium?", Journal of Accounting Research, Suppl. 27, 1-36.
5. Bloomfield, R. J. 2002. "The 'incomplete revelation hypothesis' and financial reporting", Accounting Horizons 16, 233-243.
6. Chan, L.K.C., Jegadeesh, N., and Lakonishok, J. 1996. "Momentum strategies", The Journal of Finance 51, 1681-1713.
7. Chevalier, J., Mayzlin, D. 2006. "The effect of word of mouth online: Online book reviews". Journal of Marketing Research 43(3), 345-354.
8. Dellarocas, C., Zhang, M., and Awad, N. F. 2007. "Exploring the Value of Online Product Reviews in Forecasting Sales: The Case of Motion Pictures", Journal of Interactive Marketing Volume 21 (4), Fall 2007, 23-45.
9. Duan, W., Gu, B., and Whinston, A. 2005. "Do online reviews matter?-an empirical investigation of panel data". Decision Support Systems Volume 45(4), 1007-1016.
10. Engelberg, J. 2008. "Costly information processing: Evidence from earnings announcements", Working paper available on SSRN, Northwestern University.
11. Fama, E. F., 1970. "Efficient capital markets: a review of theory and empirical work", The Journal of Finance 25, 383-417.
12. Fama, E. F., and French, K.R. 1992. "The cross-section of expected stock returns", The Journal of Finance 47, 427-465.
13. Gleason, C. A., and Lee, C. M. C. 2003 "Analyst forecast revisions and market price discovery", The Accounting Review, 78, 193-225.
14. Granados, N., Gupta A., Kauffman R. J. 2010. Information Transparency in Business-to-Consumer Markets: Concepts, Framework and Research Agenda. Information Systems Research, 21, 2, June 2010, 207-226.
15. Grossman, S.J. and Stiglitz, J. E. 1980. "On the Impossibility of Informationally Efficient Markets. " American Economic Review, 70, pp. 393-408.
16. Hagenau, M., Liebmann, M., Hedwig, M., and Neumann, Dirk. 2012. "Automated News Reading: Automated news reading: Stock Price Prediction based on Financial News Using Context-Specific Features", Proceedings of the 45th Hawaii International Conference on System Sciences, Waleia, Hawaii, January 2012.
17. Hirshleifer, D., Lim, S. S., and Teoh, S. H. 2009. "Driven to Distraction: Extraneous Events and Underreaction to Earnings News". The Journal of Finance 64, 5, 2289-2325 (2009).
18. Ivkovic, Z., and Jegadeesh, N. 2004. "The Timing and Value of Forecast and Recommendation Revisions", Journal of Financial Economics 73, 433-463.
19. Jegadeesh, N., and Titman, S. 1993. "Returns to buying winners and selling losers: Implications for stock market efficiency", The Journal of Finance 48, 65-91.
20. Jegadeesh, N., and Wu, A. D. 2012. Word Power: A New Approach for Content Analysis (November 1, 2011). AFA 2012 Chicago Meetings Paper.
21. Karpoff, J. 1986. "A Theory of Trading Volume", Journal of Finance 41,1069-1087.
22. Kandel, E., and Pearson, N. D. 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets", Journal of Political Economy 103, 831-872.
23. Kim, O., and Verrecchia, R. E. 1991. "Trading Volume and Price Reactions to Public Announcements". Journal of Accounting Research. Volume 29. pp. 302-321.
24. Kothari, S.P. 2001. "Capital market research in accounting", Journal of Accounting and Economics 31, 105-231.
25. Krishna, V., and Morgan, J. 2004. "The art of conversation: Eliciting information from experts through multi-stage communication", Journal of economic theory 177, 147-179.
26. Lehavy. R., Li, F., and Merkley, K. 2011. "The Effect of Annual Report Readability on Analyst Following and the Properties of Their Earnings Forecast", The Accounting Review 86(3), 1087-1115
27. Li, F. 2010a "Textual Analysis of Corporate Disclosures: A Survey of the Literature", Journal of Accounting Literature 29, 143-165.
28. Li, F. 2010b, "The Information Content of Forward-Looking Stements in Corporate Filings-A Naiive Bayesian Machine Learning Approach", Journal of Accounting Research 48, 49-102.
29. Liebmann, M., Hagenau, M., Häussler, M., and Neumann, D. 2011. Effects Behind Words: Quantifying Qualitative Information in Corporate Announcements, working paper presented at Financial Management Association conference, Porto, Portugal.
30. Liu, Y. 2006. "Word-of-mouth for movies: Its dynamics and impact on box office receipts?", Journal of Marketing, 70, 74-89.
31. Loughran, T., and McDonald, B. 2011. "When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks", Journal of Finance 66, 35-65.
32. MacKinlay, C. 1997. "Event Studies in Economics and Finance", Journal of Economic Literature, 35, 13-39.
33. Miller, B. 2010. "The Effects of Reporting Complexity on Small and Large Investor Trading", The Accounting Review.
34. Reinstein, D., and Snyder, C. 2005. "The influence of expert reviews on consumer demand for experience goods: A case study of movie critics", Journal of Industrial Economics 53(1): 27-51.
35. Röder, K. 2000. "Die Informationswirkung von Ad hoc-Meldungen", Zeitschrift für Betriebswirtschaft 70, 567-593.
36. Tetlock, P. C., Saar-Tsechansky, M., and Macskassy, S. 2008. "More than words: Quantifying Language to Measure Firms' Fundamentals", The Journal of Finance 63, 1437-1467.
37. th Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (Kluver Academic Publishers, Boston MA).
38. You, H., and Zhang, X. 2009. "Financial reporting complexity and investor underreaction to 10-K information", Review of Accounting Studies 14 (4) 559-586.