It is generally accepted that news, often defined as news stories in a professionally edited newspaper, moves stock prices. By exploring data from an online stock forum our study presents a novel approach to identify stock-related news events from an investor perspective as an alternative to...

We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a new measure of the intensity of arbitrage transactions at the individual stock level and using an event study analysis to estimate the market reaction to economic shocks. Our...

Using a novel natural experiment, we provide causal evidence on how asset prices are affected when the media draws investor attention to stale information. We find that shortly after the announcement of a high-profile financial analyst award, stocks with preexisting recommendations from analysts...

This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed's...

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...

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...