Abstract
The link between news and investor decision making is widely discussed in the litera- ture. Utilising unique U.S. firm-level news data between 1979 and 2016, we document a cross-sectional difference in the speed of the diffusion of information contained in news. We distinguish news articles as being either slowly or quickly incorporated into contemporaneous stock prices. The return spread between stocks classified according to these two types of news yields a statistically significant profit of 139 basis points per month. This abnormal return cannot be explained by other well-known risk factors and is robust when allowing for trading costs. Overall, our research refines the role of news regarding information dissemination in the financial markets.
| Original language | English |
|---|---|
| Pages (from-to) | 774-795 |
| Number of pages | 23 |
| Journal | European Journal of Finance |
| Volume | 27 |
| Issue number | 8 |
| Early online date | 16 Nov 2020 |
| DOIs | |
| Publication status | Published - 24 May 2021 |
Bibliographical note
Publisher Copyright:© 2020 Informa UK Limited, trading as Taylor & Francis Group.
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