BAFI Seminar - Shimon Kogan

News and Stock Prices: New Insights

A basic tenet of rational finance is that asset prices change in response to unexpected fundamental information. This paper revisits this topic in a novel way. Using textual analysis, we are better able to identify fundamental information by parsing news into those that include unidentified events, identified events and complex events. Once news is correctly identified in this manner, there is considerably more evidence of a strong relationship between stock price changes and information. As applications, we revisit seminal facts from the literature, including an analysis of the relation between stock-return volatility and different types of news during trading and non-trading hours; an investigation of volatility persistence conditional on news types; and a reinvestigation of an infamous result that market model R2s are the same on news and no news days.  This paper is co-authored with Jacob Boudoukh, Arison School of Business, IDC Herzliya, Ronen Feldman, The Hebrew University, and Matthew Richardson, New York University and NBER.


Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Dept. Administrator/BAFI
txn2@case.edu
216-368-2040 (tel)
216-368-6249 (fax)

Thursday, Sep. 24, 2015 from 1 p.m. to 2:30 p.m.
Peter B. Lewis Building 220
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
Speaker(s): Shimon Kogan, Univ of Texas
Kogan paper

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