News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

Jeon Y., McCurdy T. H., Zhao X.

Journal of Financial Economics, vol.145, no.2, pp.1-17, 2022 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 145 Issue: 2
  • Publication Date: 2022
  • Doi Number: 10.1016/j.jfineco.2021.08.002
  • Journal Name: Journal of Financial Economics
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, zbMATH, DIALNET
  • Page Numbers: pp.1-17
  • Keywords: Jumps, News frequency, Textual analysis, News content, Sentiment
  • TED University Affiliated: No

Abstract

© 2021 The AuthorsMaterial news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.