von Beschwitz, Bastian
[Verfasser:in]
;
Keim, Donald B.
[Sonstige Person, Familie und Körperschaft];
Massa, Massimo
[Sonstige Person, Familie und Körperschaft]
Erschienen in:Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Umfang:
1 Online-Ressource (58 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2356547
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 23, 2015 erstellt
Beschreibung:
We investigate whether providers of news analytics affect the stock market. We exploit a unique identification strategy based on revisions 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, but temporarily increases illiquidity and can result in temporary price distortions that might increase volatility and reduce market stability. Furthermore, we document that traders learn dynamically about the precision of news analytics