סמינר במימון חשבונאות
INFORMATION, TRADING, AND VOLATILITY:
EVIDENCE FROM FIRM-SPECIFIC NEWS
Shimon Kogan, IDC and UT, Austin
What moves stock prices? Systematic factors aside, prior literature concludes that the
revelation of private information through trading, and not public news, is the primary driver.
We revisit the question by utilizing new textual analysis tools that allow us to better-identify
fundamental information in news. We find that such fundamental firm-level information is
an important source for stock price volatility, accounting for 20%-40% of overnight
volatility (compared to 5%-6% during trading hours). Moreover, we find that the
percentages of news-explained variance varies across firm characteristics and industries.