| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10534 |
| DP10534 First to ?Read? the News: News Analytics and Institutional Trading | |
| Massimo Massa; Bastian von Beschwitz | |
| 发表日期 | 2015-04-12 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the informational content of the news. Coverage in news analytics speeds up the market reaction in terms of stock price response and trading volume, and increases illiquidity immediately after the article. Furthermore, we document that traders learn dynamically about the precision of news analytics. |
| 主题 | Financial Economics |
| 关键词 | Information Institutional trading Stock price reaction Textual analysis |
| URL | https://cepr.org/publications/dp10534 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539366 |
| 推荐引用方式 GB/T 7714 | Massimo Massa,Bastian von Beschwitz. DP10534 First to ?Read? the News: News Analytics and Institutional Trading. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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