Assimilation of Oil News Into Prices

Do investors quickly and rationally react to the content of oil-related news articles revealing supply and demand information? Our paper creates a novel keyword list of 130 oil-related words and modifiers that enable investors/researchers to measure the information content of oil stories. We find significant short term overreaction to the text of Dow Jones oil-related news articles. Phrases like output cut, production cut, shortage, and demand up in lagged news articles are associated with lower oil prices the following trading day. The evidence is consistent with the notion that oil traders overreact to the content of widely-read news articles

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Year of publication:	2019
Authors:	Loughran, Tim
Other Persons:	McDonald, Bill (contributor) ; Pragidis, Ioannis (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Ölpreis \| Oil price \| Soziale Integration \| Social integration \| Ankündigungseffekt \| Announcement effect \| Erdölindustrie \| Oil industry \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (42 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 31, 2019 erstellt
Other identifiers:	10.2139/ssrn.3074808 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012900590