Information, trading, and volatility: Evidence from firm-specific news

Jacob Boudoukh; Ronen Feldman; Shimon Kogan; Matthew Richardson

doi:10.1093/rfs/hhy083

Information, trading, and volatility: Evidence from firm-specific news

Jacob Boudoukh, Ronen Feldman, Shimon Kogan, Matthew Richardson

BA Business Department

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

Abstract

What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinvestigate two important contributions in the literature related to individual R²s of stock returns on aggregate factors.

Original language	English
Pages (from-to)	992-1033
Number of pages	42
Journal	Review of Financial Studies
Volume	32
Issue number	3
DOIs	https://doi.org/10.1093/rfs/hhy083
State	Published - 1 Mar 2019

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics

Access to Document

10.1093/rfs/hhy083

Cite this

@article{223d5e6d1e194bbea9da01a5c1ee2082,

title = "Information, trading, and volatility: Evidence from firm-specific news",

abstract = "What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinvestigate two important contributions in the literature related to individual R2s of stock returns on aggregate factors.",

author = "Jacob Boudoukh and Ronen Feldman and Shimon Kogan and Matthew Richardson",

note = "Publisher Copyright: {\textcopyright} The Author(s) 2018. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: [email protected].",

year = "2019",

month = mar,

day = "1",

doi = "10.1093/rfs/hhy083",

language = "الإنجليزيّة",

volume = "32",

pages = "992--1033",

journal = "Review of Financial Studies",

issn = "0893-9454",

publisher = "Oxford University Press",

number = "3",

}

TY - JOUR

T1 - Information, trading, and volatility

T2 - Evidence from firm-specific news

AU - Boudoukh, Jacob

AU - Feldman, Ronen

AU - Kogan, Shimon

AU - Richardson, Matthew

N1 - Publisher Copyright: © The Author(s) 2018. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: [email protected].

PY - 2019/3/1

Y1 - 2019/3/1

N2 - What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinvestigate two important contributions in the literature related to individual R2s of stock returns on aggregate factors.

AB - What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in news. We find that this information accounts for 49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours), with a considerable fraction due to days with multiple news types. We use our measure of public information arrival to reinvestigate two important contributions in the literature related to individual R2s of stock returns on aggregate factors.

UR - http://www.scopus.com/inward/record.url?scp=85058444202&partnerID=8YFLogxK

U2 - 10.1093/rfs/hhy083

DO - 10.1093/rfs/hhy083

M3 - مقالة

SN - 0893-9454

VL - 32

SP - 992

EP - 1033

JO - Review of Financial Studies

JF - Review of Financial Studies

IS - 3

ER -

Information, trading, and volatility: Evidence from firm-specific news

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this