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

76 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 languageAmerican English
Pages (from-to)992-1033
Number of pages42
JournalReview of Financial Studies
Volume32
Issue number3
DOIs
StatePublished - 1 Mar 2019

Bibliographical note

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: journals.permissions@oup.com.

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