When can the market identify old news?

• 成果类型: Article
• 署名作者: Fedyk, Anastassia; Hodson, James
• 署名单位: University of California System; University of California Berkeley; Slovenian Academy of Sciences & Arts (SASA); Jozef Stefan Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.04.008
• 发表日期: 2023
• 页码: 92-113
• 关键词: news; recombination; Information processing; correlation neglect; Inattention; reversal

摘要

What drives the puzzle of market reactions to old news? Motivated by theories of cor-relation neglect, we conduct an experiment on finance professionals and show that even sophisticated investors have difficulty identifying old information that recombines content from multiple sources. We evaluate the market implications of this mechanism using a unique dataset of 17 million news articles from the Bloomberg terminal. Recombination of old information prompts larger price moves and subsequent reversals than direct reprints. This effect persists across news sentiment, ambiguity, and investor attention. Furthermore, while overall reactions to old information decline over time, differential reactions to re-combinations increase. (c) 2023 The Author(s). Published by Elsevier B.V.This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/ )