The Review of Financial Studies, hhy083,

信息，交易和波动：来自特定公司新闻的证据

作者：Jacob Boudoukh（Interdisciplinary Center (IDC) Herzliyah）, Ronen Feldman（Hebrew University of Jerusalem）, Shimon Kogan （Massachusetts Institute of Technology (MIT) ）, Matthew P. Richardson（New York University (NYU) ）

摘要：是什么改变股价？先前的文献得出如下结论：通过交易而非公共新闻来揭示私人信息是主要驱动因素。我们通过使用文本分析识别新闻中的基本信息来重新审视这个问题。我们发现这些信息解释了隔夜特质波动的49.6％（交易时间内为12.4％），相当一部分是由于受到了具有多种新闻类型日期的影响。我们利用公共信息到达的度量方法，重新研究了文献中关于总体因素股票收益的单个R2的两个重要贡献。

Information, Trading, and Volatility: Evidence from Firm-Specific News

Jacob Boudoukh（Interdisciplinary Center (IDC) Herzliyah）

Ronen Feldman（Hebrew University of Jerusalem）

Shimon Kogan （Massachusetts Institute of Technology (MIT) ）

Matthew P. Richardson（New York University (NYU) ）

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.

原文链接：https://academic.oup.com/rfs/advance-article-abstract/doi/10.1093/rfs/hhy083/5061375?redirectedFrom=fulltext

翻译：黄涛