On the robustness of Obaid and Pukthuanthong’s photo pessimism result

Obaid and Pukthuanthong (2022) find that daily market return is negatively related to the previous day’s (lag 1) value of their pessimistic sentiment measure derived from Wall Street Journal news photos for the period from August 2008 to September 2020. The authors replicate their results and show that the statistical significance of the lag 1 photo pessimism measure depends on the inclusion of year 2011 data – indeed, more specifically, on 20 observations (from 2011) out of 3,044 total observations. Oddly, with the removal of 2011 data, the lag 2 photo pessimism measure maintains its positive statistical significance.