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The Effect of Investor Attention on the Pricing of Seasoned Equity Offerings
Pinto-Gutierrez, Cristian A. - 2015
I examine the role of investor attention on seasoned equity offerings' (SEOs) outcomes. I use an archive of Thomson Reuters' news articles and third-party newswires to proxy for investor attention. I find that the volumes of news articles prior to the offerings are positively associated with the...
Persistent link: https://www.econbiz.de/10013028714
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Idiosyncratic Volatility and Firm-Specific News : Beyond Limited Arbitrage
DeLisle, Jared - 2016
idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …
Persistent link: https://www.econbiz.de/10013003459
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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns
Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023
We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....
Persistent link: https://www.econbiz.de/10014258401
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Individual investor trading in leverage products : risk appetite and positioning around earnings announcements
Schroff, Sebastian; Meyer, Stephan; Burghof, Hans-Peter - 2013
We study the trading behavior of individual investors in leverage bank-issued products around earnings announcements. The trading activity increases substantially around earnings announcements. Aggregated individual investor trading is strongly correlated, both pre- and post event. We find...
Persistent link: https://www.econbiz.de/10012822378
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Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...
Persistent link: https://www.econbiz.de/10012629835
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Dividends versus Stock Repurchases and Long-Run Stock Returns under Heterogeneous Beliefs
Bayar, Onur - 2017
We analyze a firm's choice between dividend payments and stock repurchases under heterogeneous beliefs and the subsequent long-term stock return performance of firms adopting the two forms of payout. Firm insiders, owning a certain fraction of its equity, choose between paying out its cash...
Persistent link: https://www.econbiz.de/10012974192
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Investor Recognition and Seasoned Equity Offers
Autore, Don M. - 2014
We find that seasoned equity issuers who pay more in underwriting costs are associated with larger improvements in investor recognition, greater contemporaneous increases in firm value, and larger declines in illiquidity risk. We identify increased analyst following as an important channel...
Persistent link: https://www.econbiz.de/10013043140
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Earnings Announcements, Miller’s Stocks and Private Investors – Trading Patterns and Performance
Etheber, Thomas - 2012
This paper investigates market-level and private investor trading patterns and performance around earnings announcements. We document clear evidence for abnormal trading around earnings announcements for both the entire market and households in Germany and observe that private investor...
Persistent link: https://www.econbiz.de/10013114290
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Stock Price Reaction to News : The Joint Effect of Tone and Attention on Momentum
Huynh, Thanh - 2016
This study finds that market's underreaction to good news is a driver of Gutierrez and Kelly's (2008) weekly momentum returns. By employing a dataset of 10.1 million news items in four regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news...
Persistent link: https://www.econbiz.de/10013007183
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Investor Attention to News on Financial Integration and Currency Returns
Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023
In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...
Persistent link: https://www.econbiz.de/10014254455