This study provides theory and evidence to demonstrate how relative firm profitability within an industry affects stock return sensitivity to industry-level news. Extending the Cournot and Bertrand competition models, we predict that (1) the returns of less profitable firms in an industry are...

Combining a large archive of public corporate news events with retail trading records from NYSE, we examine whether and how news releases affect the informedness of individual investors. We find a significantly positive relationship between retail order imbalance on days with positive news...