Work

News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

Year: 2021

Type: article

Abstract: Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 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. The primary working dataset based on Factiva news can be downloaded using this link: https://www.dropbox.com/s/62lt6uq1t4n6gcr/MainData_Factiva_Public.zip?dl=0.

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2021.08.002

Authors: Yoontae Jeon, Thomas H. McCurdy, Xiaofei Zhao

Institutions: Toronto Metropolitan University, University of Toronto, Georgetown University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $4,010

Funder: Social Sciences and Humanities Research Council of Canada