TY - JOUR
T1 - Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns
AU - Tao, Ran
AU - Brooks, Chris
AU - Bell, Adrian
PY - 2021/5/24
Y1 - 2021/5/24
N2 - 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.
AB - 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.
UR - https://doi.org/10.1080/1351847X.2020.1846575
U2 - 10.1080/1351847X.2020.1846575
DO - 10.1080/1351847X.2020.1846575
M3 - Article (Academic Journal)
SN - 1351-847X
JO - European Journal of Finance
JF - European Journal of Finance
ER -