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
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通讯作者:
Jacob Boudoukh;Ronen Feldman;Shimon Kogan;M. Richardson
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作者:
Jacob Boudoukh;Ronen Feldman;Shimon Kogan;M. Richardson
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.