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

^*Corresponding author for this work

Business Administration

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

80 Scopus citations

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

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© 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].

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

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