Stock price reaction to news and no-news: drift and reversal after headlines

• 成果类型: Article
• 署名作者: Chan, WS
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00146-6
• 发表日期: 2003
• 页码: 223-260
• 关键词: MOMENTUM STRATEGIES; Information diffusion; news

摘要

Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. (C) 2003 Elsevier B.V. All rights reserved.