[en] This paper posits a new methodological approach to test how specialized media could influence the
information transmission channels towards investors. We contribute to the literature on the role of media
on investor limited attention, on seasonal effects in market anomalies and on the impact of news on
market anomalies. Our approach is somewhat different from the current literature as we determine
whether we can detect any seasonality in the news coverage of recommendations, analyses or opinions on
investment styles provided by specialized press to institutional investors. Our paper not only contributes
to the literature on market anomalies and seasonality effects in financial markets but also aligns itself with
a new strand of research involving the application of text mining in finance. First, our text corpus gathers
articles from specialized press targeting institutional investors. Such a corpus is unique and has never
been investigated. Second, we build our own dictionaries from several statistical methods to extract style
information from news flow. The method is innovative and our study is the first to investigate the
seasonality in the underlying information channel. At this stage, the paper is mainly methodological and
centered on small and large styles. Results will be extended to other investment styles in the near future
and completed with statistical test of cyclicality and trend analysis.
