We investigate whether the stock market impact of tone in Moody's rating reports depends on negative news. Reports convey negative news through negative rating actions (downgrades, reviews for downgrade or negative outlooks) or negative tone if there is no rating action. Using data from U.S. firms during 1995–2016, we find a significant short-term market impact of tone in reports with and without rating actions. The impact of tone is about five times stronger for negative rating actions but reversed in post-event time. The short-term impact of tone in reports with negative rating actions holds for different levels of investor attention and investor sentiment. The return reversal is driven by low-rated firms and stronger when sentiment is high and attention low. Finally, the predictability of future downgrades by tone is reduced for negative rating actions but not for reports without rating actions. The evidence is novel and indicates that negative news amplifies the market impact of tone and induces overreaction to negative rating actions.

我们调查穆迪评级报告中基调对股市的影响是否取决于负面消息。报告通过负面评级行动（降级、降级评论或负面展望）或负面基调（如果没有评级行动）传达负面消息。使用 1995 年至 2016 年美国公司的数据，我们发现在有和没有评级行动的报告中，基调对市场有重大的短期影响。对于负面评级行为，语气的影响大约是其五倍，但在事后时间发生逆转。具有负面评级行动的报告中基调的短期影响适用于不同程度的投资者关注和投资者情绪。回报逆转是由低评级公司驱动的，当情绪高涨而注意力低时，回报逆转会更强。最后，对于负面评级行动，未来降级的可预测性会降低，但没有评级行动的报告则不会。证据是新颖的，表明负面消息会放大基调的市场影响，并导致对负面评级行动的过度反应。