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. This information accounts for 49.6% of...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Using comprehensive timestamp data on earnings announcements collected from newswires, we show that earnings news announced within trading hours results in approximately 50% smaller immediate reaction compared to similar earnings announced outside trading hours. Negative news tends to be...