This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

We develop a sentiment metric to analyze the tone and information amount in financial corporate announcements. We improve existing text processing methods by developing a different word selection approach that allows quantifying the sentiment of financial announcements in an intuitive, but...

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with...

We exploit linguistic analysis of firm-specific news to measure aggregate disagreement, based on the notion that investors disagree more when news tone is highly dispersed across firms. Consistent with theories of disagreement, we find that news tone dispersion i) is negatively related to...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non financial S&P 500 firms. The positive relationship found between the...

The vast majority of U.S. public firms announce earnings in the post-close (between the closing bell and midnight, or PC) or the pre-open (between midnight and the opening bell, or PO). Prior literature generally treats PC and PO announcements as equivalent when measuring the market reaction to...

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening...

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

Finance literature highlights various reasons for stock performance subsequent to earnings announcements. However, other moving parts in these scenarios must also be simultaneously specified. While both revenue and earnings surprises are important for determining stock performance,...