Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124457659> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W3124457659 abstract "The paper is the first one outside the high-frequency domain to use sentiment-signed news to directly compare news and no-news stock returns. This is done by estimatingwhether returns on positive, neutral and negative news days are significantly different from the average daily return for a large sample of US stocks over the period fromJanuary 2003 to August 2010. The general results show that positive news days indeed have above-average returns and negative news days returns are below average, while the neutral news days are economically barely distinguishable from the average. The market also proves to be fast and accurate at pricing new information, as there are no signs of drift shortly after news days. On the contrary, a directionally correct and statistically significant movement can be found on the day before the news day. The cross-sectional analysis reveals significant differences in the strength of market reactions between stocks ranked on size, book-to-market or news coverage. The general results however hold across all subsamples and are also not driven by earnings announcements or past stock returns. Moreover, the average news sensitivity is itself a priced source of risk. A portfolio of stocks with high sensitivity to news outperforms a portfolio of stocks with low sensitivity by a statistically and economically significant 0.84% permonth. This news premium seems to primarily relate to the high impact of news in situations of general uncertainty." @default.
- W3124457659 created "2021-02-01" @default.
- W3124457659 creator A5055826017 @default.
- W3124457659 date "2011-01-01" @default.
- W3124457659 modified "2023-09-23" @default.
- W3124457659 title "News sensitivity and the cross-section of stock returns" @default.
- W3124457659 cites W1599423069 @default.
- W3124457659 cites W1967516006 @default.
- W3124457659 cites W1974343292 @default.
- W3124457659 cites W1999918735 @default.
- W3124457659 cites W2014341932 @default.
- W3124457659 cites W2097726431 @default.
- W3124457659 cites W2108014725 @default.
- W3124457659 cites W2113208252 @default.
- W3124457659 cites W2120595662 @default.
- W3124457659 cites W2129010345 @default.
- W3124457659 cites W2166706824 @default.
- W3124457659 cites W2907836893 @default.
- W3124457659 cites W3122944446 @default.
- W3124457659 cites W3123017196 @default.
- W3124457659 cites W3123089953 @default.
- W3124457659 cites W3124825020 @default.
- W3124457659 cites W3125020637 @default.
- W3124457659 cites W3125591525 @default.
- W3124457659 cites W3125688476 @default.
- W3124457659 cites W3125720591 @default.
- W3124457659 doi "https://doi.org/10.5167/uzh-49785" @default.
- W3124457659 hasPublicationYear "2011" @default.
- W3124457659 type Work @default.
- W3124457659 sameAs 3124457659 @default.
- W3124457659 citedByCount "1" @default.
- W3124457659 countsByYear W31244576592012 @default.
- W3124457659 crossrefType "journal-article" @default.
- W3124457659 hasAuthorship W3124457659A5055826017 @default.
- W3124457659 hasConcept C10138342 @default.
- W3124457659 hasConcept C106159729 @default.
- W3124457659 hasConcept C149782125 @default.
- W3124457659 hasConcept C162324750 @default.
- W3124457659 hasConcept C166957645 @default.
- W3124457659 hasConcept C204036174 @default.
- W3124457659 hasConcept C205649164 @default.
- W3124457659 hasConcept C2779343474 @default.
- W3124457659 hasConcept C2780299701 @default.
- W3124457659 hasConcept C2780821815 @default.
- W3124457659 hasConcept C2781426361 @default.
- W3124457659 hasConcept C556758197 @default.
- W3124457659 hasConceptScore W3124457659C10138342 @default.
- W3124457659 hasConceptScore W3124457659C106159729 @default.
- W3124457659 hasConceptScore W3124457659C149782125 @default.
- W3124457659 hasConceptScore W3124457659C162324750 @default.
- W3124457659 hasConceptScore W3124457659C166957645 @default.
- W3124457659 hasConceptScore W3124457659C204036174 @default.
- W3124457659 hasConceptScore W3124457659C205649164 @default.
- W3124457659 hasConceptScore W3124457659C2779343474 @default.
- W3124457659 hasConceptScore W3124457659C2780299701 @default.
- W3124457659 hasConceptScore W3124457659C2780821815 @default.
- W3124457659 hasConceptScore W3124457659C2781426361 @default.
- W3124457659 hasConceptScore W3124457659C556758197 @default.
- W3124457659 hasIssue "719" @default.
- W3124457659 hasLocation W31244576591 @default.
- W3124457659 hasOpenAccess W3124457659 @default.
- W3124457659 hasPrimaryLocation W31244576591 @default.
- W3124457659 hasRelatedWork W1899896535 @default.
- W3124457659 hasRelatedWork W2004734624 @default.
- W3124457659 hasRelatedWork W2021852099 @default.
- W3124457659 hasRelatedWork W2132527043 @default.
- W3124457659 hasRelatedWork W2166552300 @default.
- W3124457659 hasRelatedWork W2285434718 @default.
- W3124457659 hasRelatedWork W259974185 @default.
- W3124457659 hasRelatedWork W2625866590 @default.
- W3124457659 hasRelatedWork W2904795977 @default.
- W3124457659 hasRelatedWork W2990974007 @default.
- W3124457659 hasRelatedWork W3122059920 @default.
- W3124457659 hasRelatedWork W3122429885 @default.
- W3124457659 hasRelatedWork W3125015284 @default.
- W3124457659 hasRelatedWork W3125835721 @default.
- W3124457659 hasRelatedWork W3185382703 @default.
- W3124457659 hasRelatedWork W96422 @default.
- W3124457659 hasRelatedWork W2183870299 @default.
- W3124457659 hasRelatedWork W2186776244 @default.
- W3124457659 hasRelatedWork W3121920716 @default.
- W3124457659 hasRelatedWork W3123734643 @default.
- W3124457659 isParatext "false" @default.
- W3124457659 isRetracted "false" @default.
- W3124457659 magId "3124457659" @default.
- W3124457659 workType "article" @default.