First to "read" the news : news analytics and algorithmic trading

Bastian von Beschwitz, Donald B. Keim, and Massimo Massa

Exploiting a unique identification strategy based on inaccurate news analytics, we document a causal effect of news analytics on the market irrespective of the informational content of the news. We show that news analytics speed up the stock price and trading volume response to articles, but reduce liquidity. Inaccurate news analytics lead to small price distortions that are corrected quickly. The market impact of news analytics is greatest for press releases, which are timelier and easier to interpret algorithmically. Furthermore, we provide evidence that high frequency traders rely on the information from news analytics for directional trading on company-specific news

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Year of publication:	May 16, 2018
Authors:	Von Beschwitz, Bastian ; Keim, Donald B. ; Massa, Massimo
Publisher:	[Washington, DC] : Board of Governors of the Federal Reserve System
Subject:	Aktienmarkt \| Stock market \| Wirtschaftsinformation \| Economic information \| Zeit \| Time \| Experiment \| Kausalanalyse \| Causality analysis \| Institutioneller Investor \| Institutional investor \| USA \| United States

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Extent:	1 Online-Ressource (circa 67 Seiten) Illustrationen
Series:	International finance discussion papers. - Washington, DC : [Verlag nicht ermittelbar], ISSN 2767-4509, ZDB-ID 2572734-5. - Vol. number1233 (July 2018) FRB International Finance Discussion Paper ; No. 1233
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011917282