Information, Trading, and Volatility: Evidence from Firm-Specific News
Information, Trading, and Volatility: Evidence from Firm-Specific News
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DOI：
10.2139/ssrn.2193667
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发表时间：
2016-02
期刊：
影响因子：
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通讯作者：
Jacob Boudoukh;Ronen Feldman;Shimon Kogan;M. Richardson
中科院分区：
文献类型：
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作者：
Jacob Boudoukh;Ronen Feldman;Shimon Kogan;M. Richardson
是什么推动了股价的上涨？抛开系统性因素不谈，以前的文献得出结论，通过交易披露私人信息，而不是公共新闻，是主要的驱动因素。我们通过利用新的文本分析工具重新审视这个问题，这些工具使我们能够更好地识别新闻中的基本信息。我们发现，这种公司层面的基本面信息是股价波动的重要来源，占隔夜波动率的20%-40%(相比之下，交易时段的波动率为5%-6%)。此外，我们发现，新闻解释差异的百分比因公司特征和行业而异。
What moves stock prices? Systematic factors aside, prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by utilizing new textual analysis tools that allow us to better-identify fundamental information in news. We find that such fundamental firm-level information is an important source for stock price volatility, accounting for 20%-40% of overnight volatility (compared to 5%-6% during trading hours). Moreover, we find that the percentages of news-explained variance varies across firm characteristics and industries.