[en] From major news outlets to social media and the general public, it is common to find
mentions of the existence of relationships between narratives and economic outcomes.
By definition, those narratives are forms of soft information, which until recently have
been difficult to quantify and are often propagated through natural language and text in
particular. This thesis seeks to leverage this soft information and harness one key dimension of text in particular: Sentiment. In the context of this thesis, sentiment is defined as the disposition of an entity toward another entity, expressed via a specific medium. In the first three chapters of this thesis, the medium of interest is “News”, specifically news stories published in the financial press. The first paper uses firm-specific news sentiment to understand why market anomalies earn a premium on earnings announcement days. News sentiment shows that this premium for value firms is concentrated on bad news events, which permits us to propose new avenues to understand this market anomaly.
The second and third chapters investigate more generally how news can help understand
drivers of market anomalies. Market anomalies have played a central role in asset pricing
research over the past decades, and numerous competing theories seek to accommodate
empirical observations that deviate from the classical model. Chapter two proposes a
framework based on cash-flow and discount rate news, allowing us to capture the driving
forces behind anomaly returns and disentangle competing explanations for anomalies. The third chapter investigates drivers of anomaly returns and characterizes news of momentum and value stocks, in particular, highlighting the strong negative correlation between the two. It is also the first to link cash-flow news, discount rate news, and news sentiment.
The economic outcome of interest in the fourth chapter is to understand how changes
in company ownership, especially following leveraged buy-outs, affect employee welfare.
We gather millions of online reviews of employees about their employers and investigate
the underlying text data to characterize the impact private equity firms have on those
narratives. Overall, employees’ satisfaction drops sharper following leverage buy-outs than in other types of ownership changes and we can trace those problems back to specific issues related to lack of management care and fear of cost-cutting and layoffs.
