To my knowledge, this paper is the first to find evidence that news media content can predict movements in broad indicators of stock market activity. Using principal components analysis, I construct a simple measure of media pessimismfromthe content of theWSJ column. I then estimate the intertempo- ral links between this measure of media pessimism and the stock market using basic vector autoregressions (VARs). First and foremost, I find that high lev- els of media pessimism robustly predict downward pressure on market prices, followed by a reversion to fundamentals. Second, unusually high or low values of media pessimism forecast high market trading volume. Third, low market returns lead to high.
