Related papers: Does Overnight News Explain Overnight Returns?
Over the past 60 years, there has been a gradual increase in the volatility of daily returns for the S&P 500 Index. Hypothetically, suppose that market forces determine daily volatility such that a daily leveraged S&P 500 fund cannot…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information, we use the news archives from the Common Crawl, a nonprofit…
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH users strongly favor big losers over big gainers. We also…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
Stock market forecasting is very important in the planning of business activities. Stock price prediction has attracted many researchers in multiple disciplines including computer science, statistics, economics, finance, and operations…
This thesis investigates share buybacks, specifically share buyback announcements. It addresses how to recognize such announcements, the excess return of share buybacks, and the prediction of returns after a share buyback announcement. We…
The prediction of a stock price has always been a challenging issue, as its volatility can be affected by many factors such as national policies, company financial reports, industry performance, and investor sentiment etc.. In this paper,…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is…
The profusion of user generated content caused by the rise of social media platforms has enabled a surge in research relating to fields such as information retrieval, recommender systems, data mining and machine learning. However, the lack…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
As is widely known, the stock market is a complex system in which a multitude of factors influence the performance of individual stocks and the market as a whole. One method for comprehending -- and potentially predicting -- stock market…
In this study, we closely look at the use of social media contents as source or reference in the U.S. news media. Specifically, we examine about 60 thousand news articles published within the 5 years period of 2013-2017 by 153 U.S. media…
The increasing influence of unstructured external information, such as news articles, on stock prices has attracted growing attention in financial markets. Despite recent advances, most existing newsbased forecasting models represent all…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
In the last decade we have observed a mass increase of information, in particular information that is shared through smartphones. Consequently, the amount of information that is available does not allow the average user to be aware of all…
Stock price movement prediction is a challenging and essential problem in finance. While it is well established in modern behavioral finance that the share prices of related stocks often move after the release of news via reactions and…
Starting from an exact relationship between news, threshold and price return distributions in the stationary state, I discuss the ability of the Ghoulmie-Cont-Nadal model of traders to produce fat-tailed price returns. Under normal…