Journal article
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Abstract
Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 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 …
Authors
Jeon Y; McCurdy TH; Zhao X
Journal
Journal of Financial Economics, Vol. 145, No. 2, pp. 1–17
Publisher
Elsevier
Publication Date
8 2022
DOI
10.1016/j.jfineco.2021.08.002
ISSN
0304-405X