Research Seminars

Linguistic-Based Perceptual Shocks and Quantile Regression: A Study of Corporate Reputation and Financial Performance

Speaker: Mathieu Trepanier
SIAW-HSG (Swiss Institute for International Economics and Applied Economic Research (SIAW) - University of St-Gallen (HSG)

14 November 2011 - room H009 - From 12:30 to 14:00

The paper proposes a novel approach for the empirical investigation of
corporate reputation relying on linguistic-based perceptual shocks
derived from the varying affective content of media coverage about
companies. The method is compared to more traditional survey-based
approaches for the study of corporate reputation. A quantile regression
framework is used to document the impact of the shocks on subsequent
firm performance for both under and over performing firms. The
informational foundations of perceptual shocks are also examined.
Finally, attention is given to the respective role of expected and
unexpected perceptual shocks for explaining subsequent performance.
Overall, the findings offer substantial evidence supporting the use of
the quantile regression approach over least squares alternatives for
estimates of the conditional mean. The main findings suggest that the
perceptual shocks based both on "negative" and "positive" lexica impact
the scale of the subsequent stock returns distribution, but not its
location. The informational foundations are found to vary significantly
across perceptual shock measures derived from different lexica. Finally,
both expected and unexpected perceptual shocks are significant
predictors of the next-day stock returns distribution, consistent with
linguistic-based perceptual shocks being proxies for certain common risk
factors as well as for these shocks impacting investor beliefs more
directly.

Finance

Speaker: Xavier Gabaix

13 June 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Adriano Rampini

23 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Luke Taylor

16 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Jessica Jeffers

18 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Emil Verner

4 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Niels Gormsen

28 March 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Ramona Dagostino

14 March 2019 - T104 - From 2:00 pm to 3:15 pm


title : TBA

Economics & Decision Sciences

Speaker: Harry Di Pei
Northwestern

12 February 2019


title : TBA

Economics & Decision Sciences

Speaker: François Geerolf
UCLA

18 December 2018


title : TBA

Economics & Decision Sciences

Speaker: Marko Tervio
Aalto

13 December 2018



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