Unusual News Flow and the Cross Section of Stock Returns

• 成果类型: Article
• 署名作者: Bali, Turan G.; Bodnaruk, Andriy; Scherbina, Anna; Tang, Yi
• 署名单位: Georgetown University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of California System; University of California Davis; Brandeis University; Fordham University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2726
• 发表日期: 2018
• 页码: 4137-4155
• 关键词: unusual news flow; Volatility shocks; Short-sale constraints; market efficiency

摘要

We document that stocks that experience sudden increases in idiosyncratic volatility underperform otherwise similar stocks in the future, and we propose that this phenomenon can be explained by the Miller conjecture [Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4): 1151-1168]. We show that volatility shocks can be traced to unusual firm-level news flow, which temporarily increases the level of investor disagreement about the firm value. At the same time, volatility shocks pose a barrier to short selling, preventing pessimistic investors from expressing their views. In the presence of divergent opinions and short-selling constraints, prices initially reflect optimistic views but adjust downward in the future as investors' opinions converge.