Front-Page News: The Effect of News Positioning on Financial Markets

• 成果类型: Article
• 署名作者: Fedyk, Anastassia
• 署名单位: University of California System; University of California Berkeley; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13287
• 发表日期: 2024
• 页码: 5-33
• 关键词: INVESTOR ATTENTION; cross-section; media; INFORMATION; earnings; underreaction; READABILITY; Sentiment; search; IMPACT

摘要

This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (front-page) positioning of news articles on the Bloomberg terminal. Front-page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non-front-page articles. Overall, the information in front-page articles is fully incorporated into prices within an hour of publication. The response to non-front-page information of similar importance eventually converges but takes more than two days to be fully reflected in prices.