Related papers: Does Overnight News Explain Overnight Returns?
The world's stock markets display a strikingly suspicious pattern of overnight and intraday returns. Overnight returns to major stock market indices over the past few decades have been wildly positive, while intraday returns have been…
The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its…
The world's stock markets display a strikingly suspicious, decades long pattern of overnight and intraday returns that nobody (other than us) has plausibly explained and that nobody (other than us) has clearly and persistently alerted you…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated…
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively)…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than 1 million news articles collected from the internet, we construct time-varying directed networks of the S&P500 stocks.…
We propose a 4-factor model for overnight returns and give explicit definitions of our 4 factors. Long horizon fundamental factors such as value and growth lack predictive power for overnight (or similar short horizon) returns and are not…
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
The marvel of markets lies in the fact that dispersed information is instantaneously processed and used to adjust the price of goods, services and assets. Financial markets are particularly efficient when it comes to processing information;…
We show how text from news articles can be used to predict intraday price movements of financial assets using support vector machines. Multiple kernel learning is used to combine equity returns with text as predictive features to increase…
This paper proposes an information retrieval method for the economy news. The effect of economy news, are researched in the word level and stock market values are considered as the ground proof. The correlation between stock market prices…
We revisit the problem of predicting directional movements of stock prices based on news articles: here our algorithm uses daily articles from The Wall Street Journal to predict the closing stock prices on the same day. We propose a unified…
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007.…
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains…
Analyzing a comprehensive news dataset, we document that joint news coverage triggers attention contagion, causing temporarily inflated valuations for affected stocks. Tracing SEC EDGAR visits from unique IPs, we provide direct evidence of…
The diffusion of financial news into market prices is a complex process, making it challenging to evaluate the connections between news events and market movements. This paper introduces FININ (Financial Interconnected News Influence…