Keim, Donald B.
[Verfasser:in]
;
von Beschwitz, Bastian
[Sonstige Person, Familie und Körperschaft];
Blume, Marshall E.
[Sonstige Person, Familie und Körperschaft]
Erschienen in:Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Umfang:
1 Online-Ressource (46 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.3677244
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2, 2013 erstellt
Beschreibung:
We investigate whether providers of high frequency media analytics affect the stock market. This question is difficult to answer as the response to news analytics usually cannot be distinguished from the reaction to the news itself. We exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics for algorithmic traders. Comparing the market reaction to similar news items depending on whether the news has been released to customers or not, we are able to determine the causal effect of news analytics on stock prices, irrespective of the informational content of the news. We show that coverage in news analytics speeds up the market reaction by both increasing the stock price update and the trading volume in the first few seconds after the news event. Such coverage also increases prices if the content of the news is positive. Placebo tests and econometric robustness checks, either based on difference-in-difference specifications or different samples, confirm the results. The fact that a provider of media analytics impacts the market in a separate and distinct way from the underlying information content of the news has important normative implications for the regulatory debate