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

Jacob Boudoukh, Ronen Feldman, Shimon Kogan*, Matthew Richardson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

61 Scopus citations


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 languageAmerican English
Pages (from-to)992-1033
Number of pages42
JournalReview of Financial Studies
Issue number3
StatePublished - 1 Mar 2019

Bibliographical note

Funding Information:
We thank Andrew Karolyi; two anonymous referees; John Griffin; seminar participants at the University of Texas, Austin, NYU Stern School of Business, Wharton School of Business, University of Zurich, University of Lausanne, ESMT Berlin, Case Western University, HEC Paris, York University, and the 2nd Luxembourg Asset Management Summit and the discussant Guido Baltussen; participants of the 2013 WFA meetings and the discussant Paul Tetlock; and participants of the 2013 AQR Insight Award for their comments and suggestions. An earlier version of the paper was circulated under “Which News Moves Stock Prices? A Textual Analysis.” We thank the Israel Science Foundation (ISF) for their financial support. Send correspondence to Shimon Kogan, Arison Business School, IDC Herzliya, Herzliya, Israel; telephone: +972 (9) 966-2741. E-mail:

Publisher Copyright:
© 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:


Dive into the research topics of 'Information, trading, and volatility: Evidence from firm-specific news'. Together they form a unique fingerprint.

Cite this