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News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Journal of Financial Economics ( IF 8.238 ) Pub Date : 2021-08-12 , DOI: 10.1016/j.jfineco.2021.08.002
Yoontae Jeon 1 , Thomas H. McCurdy 2 , Xiaofei Zhao 3
Affiliation  

Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.



中文翻译:

新闻是股票收益跳跃的来源:来自 9000 家公司的 2100 万篇新闻文章的证据

重大新闻事件可能是股票收益跳跃的潜在重要来源。我们收集了与 9000 多家上市公司相关的 2100 万篇新闻文章,并使用文本分析得出对新闻进行总结的措施。我们发现股票收益跳跃(包括跳跃大小分布和跳跃强度的时间变化)与新闻流频率和内容显着相关,并且这些影响在过去几十年中显着增加。对于具有较高媒体知名度、分析师覆盖率和机构所有权的公司,跳跃概率对新闻的敏感性更强。这种敏感性也因不同的新闻类别而异。

更新日期:2021-08-12
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