Stock price reaction to news and no-news: drift and reversal after headlines
Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to r...
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| Veröffentlicht in: | Journal of financial economics 2003-11, Vol.70 (2), p.223-260 |
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| container_end_page | 260 |
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| container_title | Journal of financial economics |
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| creator | Chan, Wesley S. |
| description | Using a comprehensive database of headlines about individual companies, I examine monthly returns following public news. I compare them to stocks with similar returns, but no identifiable public news. There is a difference between the two sets. I find strong drift after bad news. Investors seem to react slowly to this information. I also find reversal after extreme price movements unaccompanied by public news. The separate patterns appear even after adjustments for risk exposure and other effects. They are, however, mainly seen in smaller, more illiquid stocks. These findings support some integrated theories of investor over- and underreaction. |
| doi_str_mv | 10.1016/S0304-405X(03)00146-6 |
| format | Article |
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| ispartof | Journal of financial economics, 2003-11, Vol.70 (2), p.223-260 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_231705081 |
| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Business conditions Correlation analysis Information diffusion Momentum strategies News Stock prices Studies |
| title | Stock price reaction to news and no-news: drift and reversal after headlines |
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