An Analysis of the Impact of Published News on Stock Price and Stock Trading Volume PDF Download

Author: Patrick A. Gaughan
Publisher:
ISBN:
Category : Wall Street journal
Languages : en
Pages : 408

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Book Description

Author: Patrick A. Gaughan
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 204

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Book Description

Author: Gautam Mitra
Publisher: John Wiley & Sons
ISBN: 1119990807
Category : Business & Economics
Languages : en
Pages : 384

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Book Description
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.

Author: 黃嘉莉
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Alexander Gabriel Kerl
Publisher:
ISBN:
Category :
Languages : en
Pages : 38

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Book Description
Within this paper, we analyze the impact of Financial Times Deutschland (FTD) news on stock prices and trading volumes. Based on a sample of all news on German DAX, MDAX and SDAX companies published within the news section of the FTD between 2006 and 2010, our results show that articles that contain positive (negative) information are associated with significantly positive (negative) abnormal returns and abnormal trading volumes around their publication. Furthermore, our results show an initial underreaction to these articles and a subsequent post publication drift. Based on the inattention hypothesis, we show that high-attention news (proxied by abnormal trading volume) almost instantaneously influence stock prices to reach their new valuation levels, whereas the price adjustment process takes much longer following low-attention news. Our results also hold within multivariate regressions where we additionally control for stock-specific characteristics (e.g., institutional ownership, size and price-to-book ratio) as well as other attention grabbing events (as measured by ad-hoc announcements and cover page news articles). Finally, we show that results primarily hold in the non-crisis period.

Author: Danya Bouwman
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
I investigate the impact of unscheduled, firm-specific news on high frequency stock market reactions using a five-year sample of intraday news releases and their corresponding Sentiment, Relevance, and Novelty scores generated by the Thomson Reuters News Analytics (TRNA) algorithm. My analysis features one-second interval price and volume data as well as matching trade and quote (TAQ) data for 55 Nasdaq stocks listed on the index between 2011 and 2015 inclusively. I examine cumulative abnormal returns, volumes, and trades, and further employ a quantile regression model that includes measures of news traffic to determine whether machine- readable news can effectively flag short-term trading opportunities. In line with related studies, I find significant increases in abnormal trading activity in the first few minutes surrounding a news release, with volume proving to be more sensitive to the TRNA metrics than returns. Positive news is traded more aggressively than negative news on the knee-jerk, but also experiences sharper reversals in abnormal returns in the hours following. Furthermore, results from the quantile regression analysis appear to confirm that news traffic in the run-up to and at the release time significantly impact abnormal returns. Although my results appear consistent with the hypothesis that trading activity should increase as TRNA thresholds become stricter, simulated holding period returns remain negative, highlighting the many complexities involved in algorithmically trading the news.

Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080550673
Category : Business & Economics
Languages : en
Pages : 299

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Book Description
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.*Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives

Author: Anwer S. Ahmed
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This study provides evidence on the effects of online trading on stock price and trading volume reactions to quarterly earnings announcements. We test for differences in stock price and volume reactions to quarterly earnings announcements between a period with a significant amount of online trading (1996-1999) and a period without online trading (1992-1995). We conjecture that online trading has increased the proportion of naive investors in the market. We predict that this will result in (i) a decrease in the average precision of investor information prior to earnings announcements implying higher ERCs, (ii) an increase in differential interpretation of earnings leading to higher trading volume reactions that are unrelated to price change, and (iii) a decrease in differential prior precision leading to a decrease in the association between trading volume and absolute price change. We find evidence consistent with all three predictions. Our findings are relevant for assessing the validity of concerns about online trading expressed by regulators and the validity of theoretical models of trade with asymmetrically informed investors.

Author: Thomas Dimpfl
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper investigates the impact of the opening of US stock markets on the German stock market. Quantiles of the Samp;P 500 return distribution are used to distinguish good, bad, and no news days. We find that the German market reacts to the US news announcements which typically precede the opening of the NYSE. The opening of the market itself and the beginning of trading is not found to affect the DAX. On calm days there is no measurable impact. Once important news is transmitted, it is processed rapidly. Volatility is found to be significantly higher on news days.

Author: Katrina Avila Munichiello
Publisher: Tuttle Publishing
ISBN: 9780804848992
Category : Literary Collections
Languages : en
Pages : 256

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Book Description
A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.