Time Variation in the News–Returns Relationship

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-11-15 DOI:10.1017/s0022109023001369

Paul Glasserman, Fulin Li, Harry Mamaysky

引用次数: 0

Abstract

The speed of stock price reaction to news exhibits substantial time variation. Higher risk-bearing capacity of financial intermediaries, lower passive ownership of stocks, and more informative news increase price responses to contemporaneous news; surprisingly, these interaction variables also increase price responses to lagged news (underreaction). A simple model with limited attention and three investor types (institutional, noninstitutional, and passive) predicts the observed variation in news responses. A long–short trading strategy based on news sentiment earns high returns, which increase when conditioning on the interaction variables. The interactions we document are robust to the choice of news source.

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新闻与收益关系的时间变化

股价对新闻的反应速度表现出很大的时间差异。金融中介机构较高的风险承担能力、较低的股票被动所有权以及信息量更大的新闻都会增加价格对同期新闻的反应；令人惊讶的是，这些交互变量也会增加价格对滞后新闻的反应（反应不足）。一个注意力有限的简单模型和三种投资者类型（机构投资者、非机构投资者和被动投资者）可以预测观察到的新闻反应变化。基于新闻情绪的多空交易策略可获得高回报，而在交互变量的条件下，回报会增加。我们记录的交互作用对新闻来源的选择是稳健的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.