Preprint
News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies
Abstract
Stock prices exhibit large, discrete movements, typically labelled as "jumps'". A potential important source of jumps in stock returns can be material news events. In this paper, we collect 21 million news articles associated with more than 9000 publicly-traded companies from the Factiva database and use textual analysis to derive measures summarizing those news, including news frequency, tone and uncertainty. We find that these measures of …
Authors
Jeon Y; McCurdy TH; Zhao X
Publication date
January 1, 2019
DOI
10.2139/ssrn.3318517
Preprint server
SSRN Electronic Journal