Using a comprehensive set of news stories, we find a stark difference in market responses to positive and negative price shocks accompanied by new information. When there is a news story about a firm, positive price shocks are followed by reversal, while negative ones result in drift. This is...

There is considerable evidence that machine learning algorithms have better predictive abilities than humans in various financial settings. But, the literature has not tested whether these algorithmic predictions are more rational than human predictions. We study the predictions of corporate...