{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T18:38:10Z","timestamp":1792694290215,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":51,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This study examines whether abnormal public-news sentiment precedes firm-level liquidity shocks in Indian equities using a liquidity-first event design. The sample contains 74 event observations across 69 NSE-listed companies between 2022 and 2025, with 90.5% concentrated in 2024-2025. Relative to event-specific pre-event baselines and historical pseudo-events, broad entityconditioned GDELT tone shows abnormal absolute sentiment displacement at T-1 (1.506 versus a historical null mean of 1.123; raw p = 0.035). The result is suggestive after Holm correction across the pre-specified T-1\/T0 family (p = 0.070) and is directionally consistent across pre-specified and algorithmically discovered events. Liquidity-event dates exhibit unusually large absolute price movements without corresponding increases in trading volume, consistent with elevated price impact. More restrictive headlineexplicit GDELT and entity-conditioned LLM sentiment do not show equivalent abnormal displacement, indicating that the lead signal is strongest in the wider company-associated information environment. The findings provide period-specific evidence that broad news sentiment can precede identified liquidity shocks, while whether this relationship persists across materially different macro-financial regimes remains an empirical question.<\/jats:p>","DOI":"10.2139\/ssrn.7259462","type":"posted-content","created":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T07:40:41Z","timestamp":1786693241000},"source":"Crossref","is-referenced-by-count":0,"title":["&lt;div&gt;\n Does News Sentiment Precede Liquidity Shocks?&amp;nbsp;\n&lt;\/div&gt;\n&lt;div&gt;\n A Liquidity-first Event Study of Indian Equities\n&lt;\/div&gt;"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0613-7545","authenticated-orcid":true,"given":"Saurabh","family":"Dasgupta","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"2","key":"ref1","doi-asserted-by":"crossref","first-page":"375","DOI":"10.1016\/j.jfineco.2004.06.007","article-title":"Asset pricing with liquidity risk","volume":"77","author":"V V Acharya","year":"2005","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"ref2","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns: cross-section and time-series effects","volume":"5","author":"Y Amihud","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"3","key":"ref3","doi-asserted-by":"crossref","first-page":"1259","DOI":"10.1111\/j.1540-6261.2004.00662.x","article-title":"Is all that talk just noise? 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