Citation

Discussion Paper Details

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Title: First to ?Read? the News: News Analytics and Institutional Trading

Author(s): Donald B Keim, Massimo Massa and Bastian von Beschwitz

Publication Date: April 2015

Keyword(s): Information, Institutional Trading, Stock Price Reaction and Textual Analysis

Programme Area(s): Financial Economics

Abstract: We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the informational content of the news. Coverage in news analytics speeds up the market reaction in terms of stock price response and trading volume, and increases illiquidity immediately after the article. Furthermore, we document that traders learn dynamically about the precision of news analytics.

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Bibliographic Reference

Keim, D, Massa, M and von Beschwitz, B. 2015. 'First to ?Read? the News: News Analytics and Institutional Trading'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10534