Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2019 erstellt
Beschreibung:
Combining a large archive of public corporate news events with retail trading records from NYSE, we examine whether and how news releases affect the informedness of individual investors. We find a significantly positive relationship between retail order imbalance on days with positive news sentiment and future stock returns. The predictive ability of retail order imbalance is more pronounced on both neutral news and positive news days during times of elevated market uncertainty and across a broad spectrum of corporate news categories such as corporate business activities, financial results and analysis, domestic politics, and international trade. We consider a multitude of explanations (e.g., news processing skills, news anticipation, liquidity provision, investor attention, changes in liquidity) and conclude that the argument that is most compatible with our findings is that individual investors in our sample are skilled at interpreting news