Journal of Financial Economics Vol. 145 No. 2 2022
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 substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.
- DOI
- 10.1016/j.jfineco.2021.08.002
- Volume
- 145
- Issue
- 2
- Pages
- 1-17
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex