Articlebronze2023

Front‐Page News: The Effect of News Positioning on Financial Markets

105 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

ABSTRACT This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (“front‐page”) positioning of news articles on the Bloomberg terminal. Front‐page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non‐front‐page articles. Overall, the information in front‐page articles is fully incorporated into prices within an hour of publication. The response to non‐front‐page information of similar importance eventually converges but takes more than two days to be fully reflected in prices.

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References

2002Illiquidity and stock returns: cross-section and time-series effects 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks 2001The theory and practice of corporate finance: evidence from the field 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 2005Selection on Observed and Unobserved Variables: Assessing the Effectiveness of Catholic Schools 2011In Search of Attention

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