When can the market identify old news?

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2023-07-01 DOI:10.1016/j.jfineco.2023.04.008

Anastassia Fedyk , James Hodson

引用次数: 0

Abstract

What drives the puzzle of market reactions to old news? Motivated by theories of correlation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that recombines content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent reversals than direct reprints. This effect persists across news sentiment, ambiguity, and investor attention. Furthermore, while overall reactions to old information decline over time, differential reactions to recombinations increase.

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市场什么时候能识别旧消息？

是什么导致了市场对旧消息反应的困惑？受相关性忽视理论的启发，我们在金融专业人士身上进行了一项实验，结果表明，即使是老练的投资者也很难识别将多个来源的内容重组的旧信息。我们使用彭博社终端1700万篇新闻文章的独特数据集来评估这一机制的市场影响。与直接重印相比，旧信息的重新组合会引发更大的价格波动和随后的反转。这种影响在新闻情绪、模糊性和投资者关注度方面持续存在。此外，虽然对旧信息的总体反应随着时间的推移而下降，但对重组的差异反应却增加了。

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 Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.