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Stock Price Reaction To News
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Book Synopsis Stock Price Reaction to News and No-News by : Wesley S. Chan
Download or read book Stock Price Reaction to News and No-News written by Wesley S. Chan and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine returns to a subset of stocks after public news about them is released. I compare them to other stocks with similar monthly returns, but no identifiable public news. There is a major difference between return patterns for the two sets. I find evidence of post-news drift, which supports the idea that investors underreact to information. This is strongest after bad news. I also find some evidence of reversal after extreme price movements that are unaccompanied by public news. The patterns are seen even after excluding earnings announcements, controlling for potential risk exposure, and other adjustments. They appear, however, to apply mainly to smaller stocks. I also find evidence that trading frictions, such as short-sale constraints, may play a role in the post-bad-news drift pattern.
Book Synopsis Stock Price Reaction to News by : Thanh Huynh
Download or read book Stock Price Reaction to News written by Thanh Huynh and published by . This book was released on 2016 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study finds that market's underreaction to good news is a driver of Gutierrez and Kelly's (2008) weekly momentum returns. By employing a dataset of 10.1 million news items in four regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news exhibit stronger return continuation. Our findings suggest that investors in international markets have similar underreaction to the same news characteristics.
Book Synopsis Information Uncertainty and the Reaction of Stock Prices to News by : Paolo Angelini
Download or read book Information Uncertainty and the Reaction of Stock Prices to News written by Paolo Angelini and published by . This book was released on 2010 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Prices and Economic News by : Douglas K. Pearce
Download or read book Stock Prices and Economic News written by Douglas K. Pearce and published by . This book was released on 1984 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the daily response of stock prices to announcements about the money supply, inflation, real economic activity, and the discountrate. Except for the discount rate, survey data on market participants' expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement, the surprise, moves stock prices. The empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices. There is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days. There is also only weak evidence of stock price responses to surprises beyond the announcement day.
Book Synopsis The Handbook of News Analytics in Finance by : Gautam Mitra
Download or read book The Handbook of News Analytics in Finance written by Gautam Mitra and published by John Wiley & Sons. This book was released on 2011-07-13 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.
Book Synopsis Fake News, Investor Attention, and Market Reaction by : Jonathan Clarke
Download or read book Fake News, Investor Attention, and Market Reaction written by Jonathan Clarke and published by . This book was released on 2019 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Does fake news in financial markets attract more investor attention and have a significant impact on stock prices? We use the SEC crackdown of stock promotion schemes in April 2017 to examine investor attention and the stock price reaction to fake news articles. Using data from Seeking Alpha, we find that fake news stories generate significantly more attention than a control sample of legitimate articles. We find no evidence that article commenters can detect fake news and Seeking Alpha editors have only modest ability to detect fake news. However, we show that machine learning algorithms can successfully identify fake news from linguistic features of the article. The stock market appears to price fake news correctly. While abnormal trading volume increases around the release of fake news, the increase is less than that observed for legitimate news. The stock price reaction to fake news is discounted when compared to legitimate news articles.
Book Synopsis The Stock Market's Reaction to Unemployment News by : John H. Boyd
Download or read book The Stock Market's Reaction to Unemployment News written by John H. Boyd and published by . This book was released on 2001 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that on average an announcement of rising unemployment is 'good news' for stocks during economic expansions and 'bad news' during economic contractions. Thus stock prices usually increase on news of rising unemployment, since the economy is usually in an expansion phase. We provide an explanation for this phenomenon. Unemployment news bundles two primitive types of information relevant for valuing stocks: information about future interest rates and future corporate earnings and dividends. A rise in unemployment typically signals a decline in interest rates, which is good news for stocks, as well as a decline in future corporate earnings and dividends, which is bad news for stocks. The nature of the bundle -- and hence the relative importance of the two effects -- changes over time depending on the state of the economy. For stocks as a group, and in particular for cyclical stocks, information about interest rates dominates during expansions and information about future corporate earnings dominates during contractions
Book Synopsis The Stock Market's Reaction to Unemployment News by : John H. Boyd
Download or read book The Stock Market's Reaction to Unemployment News written by John H. Boyd and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that on average an announcement of rising unemployment is 'good news' for stocks during economic expansions and 'bad news' during economic contractions. Thus stock prices usually increase on news of rising unemployment, since the economy is usually in an expansion phase. We provide an explanation for this phenomenon. Unemployment news bundles two primitive types of information relevant for valuing stocks: information about future interest rates and future corporate earnings and dividends. A rise in unemployment typically signals a decline in interest rates, which is good news for stocks, as well as a decline in future corporate earnings and dividends, which is bad news for stocks. The nature of the bundle -- and hence the relative importance of the two effects -- changes over time depending on the state of the economy. For stocks as a group, and in particular for cyclical stocks, information about interest rates dominates during expansions and information about future corporate earnings dominates during contractions.
Book Synopsis Stock Price Reactions to News and the Momentum Effect in the Korean Stock Market by : Dongweon Lee
Download or read book Stock Price Reactions to News and the Momentum Effect in the Korean Stock Market written by Dongweon Lee and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: By analyzing how stock prices respond to public news, this paper examines the momentum effect in the Korean stock market. It is true that, as a whole, the momentum strategy generates no profits in Korea. However, among the stocks in a momentum portfolio, loser stocks with news headlines make significantly positive profits caused by negative return drift. These positive profits are cancelled out by negative returns, due mostly to reversals exhibited by winner stocks with and without public news. These reversals stand in contrast to the case of the United States market, where winner stocks show weak drift (Chan, 2003). Reversals of news winners and the drift of news losers in Korea imply that stock prices react asymmetrically to public news, which is overlooked in existing studies on momentum. Further analyses indicate that this asymmetric reaction can be attributed to transaction costs rather than to the incentive of managers to disclose bad news slowly. In addition to the asymmetric reaction of prices to news, we suggest that market misperceptions concerning firms' future prospects may also be a reason for the post-news return patterns in Korea.
Book Synopsis The Stock Market's Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy by : John H. Boyd
Download or read book The Stock Market's Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy written by John H. Boyd and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We confirmBoyd et al.'s (2005) finding that on average a surprise increase in unemployment is quot;good newsquot; for stocks during economic expansions and quot;bad newsquot; during economic contractions. Unemployment news bundles information about future interest rates, equity risk premium, and corporate earnings. For stocks as a group information about interest rates dominates during expansions, and information about future earnings dominates during contractions. Hence, (a) ceteris paribus, the correlation between stock and bond returns will be greater during economic expansions and (b) stock price responses to the unemployment news will convey information about the state of the economy.
Book Synopsis Stock Price Reactions to Corporate News Announcements by : Kerry E. Motelson
Download or read book Stock Price Reactions to Corporate News Announcements written by Kerry E. Motelson and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investor Sentiment and Stock Market Response to Corporate News by : Srinivasan Sankaraguruswamy
Download or read book Investor Sentiment and Stock Market Response to Corporate News written by Srinivasan Sankaraguruswamy and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether market-wide investor sentiment influences the stock price response to firm-specific news. We use the recently developed measure of investor sentiment by Baker and Wurgler (2006, 2007) and focus on the stock price response to earnings announcements. Our results indicate that the prevailing sentiment sways stock price response to news in the direction of the sentiment - the positive stock price response to good news increases with sentiment, whereas the negative stock price response to bad news decreases with sentiment. The influence of sentiment on the stock price response is especially pronounced for small stocks, young stocks, volatile stocks, non-dividend paying stocks and distressed stocks. We find that sentiment also impacts the stock price response to dividend changes and stock split announcements.
Book Synopsis Stock Price Response to News of Securities Fraud Litigation by : Paul A. Griffin
Download or read book Stock Price Response to News of Securities Fraud Litigation written by Paul A. Griffin and published by . This book was released on 2000 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Which News Moves Stock Prices? by : Jacob Boudoukh
Download or read book Which News Moves Stock Prices? written by Jacob Boudoukh and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relation between stock prices and news, however, the finance literature has had limited success reversing this finding. This paper revisits this topic in a novel way. Using advancements in the area of textual analysis, we are better able to identify relevant news, both by type and by tone. Once news is correctly identified in this manner, there is considerably more evidence of a strong relationship between stock price changes and information. For example, market model R-squareds are no longer the same on news versus no news days (i.e., Roll's (1988) infamous result), but now are 16% versus 33%; variance ratios of returns on identified news versus no news days are 120% higher versus only 20% for unidentified news versus no news; and, conditional on extreme moves, stock price reversals occur on no news days, while identified news days show an opposite effect, namely a strong degree of continuation. A number of these results are strengthened further when the tone of the news is taken into account by measuring the positive/negative sentiment of the news story.
Book Synopsis The Text Mining Handbook by : Ronen Feldman
Download or read book The Text Mining Handbook written by Ronen Feldman and published by Cambridge University Press. This book was released on 2007 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher description
Book Synopsis Why Do Stock Prices Sometimes Fall in Response to Good Economic News? by : Timothy Cogley
Download or read book Why Do Stock Prices Sometimes Fall in Response to Good Economic News? written by Timothy Cogley and published by . This book was released on 1996 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market and Individual Investors Reactions to Corporate News in the Media by : Philipp Schmitz
Download or read book Market and Individual Investors Reactions to Corporate News in the Media written by Philipp Schmitz and published by . This book was released on 2007 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present results from an event study based on a unique data set of corporate news in the media. The data is provided by Media Tenor, a research institute which collects and rates all corporate news from the most important German daily newspapers and TV news. Our analysis is based on roughly 300,000 corporate news on 125 large- and medium-sized companies in 5 large daily newspapers and 7 TV news shows from Germany between July 1998 and October 2006. Since analysts rate the news, we have an exogenous measure whether news are good or bad news for a company. Based on this data we can show that the incorporation of information in prices is fairly fast. The main price reaction occurs on the day of the arrival of the new information. This price jump is especially large if the news coverage in the media is accompanied by ad hoc announcements made by the corporation itself. While there is only a very short-term post-event drift after good news, prices tend to drift for several days after bad news. The post-event trading volume is significantly higher than before the news for several days for good as well as bad news. To provide a test of the model of Hong and Stein (1999) we define several proxies for the speed of the information diffusion through different investor groups. We find that for smaller companies with lower abnormal media coverage the information diffusion is indeed slower, as predicted by theory. We further combine the media coverage data with individual investors transaction data in stocks and bank-issued warrants from a large German online broker. Our results indicate that individual investors, especially stock investors, as compared to warrant investors, react slower to new information as the market does. A tendency to react to bad news by buying put warrants, because selling stocks short was impossible for private investors during our sample period, could not be observed.
