A National Bureau of Economic working paper, using advancements in textual analysis, attempts to identify whether news moves stock prices. The paper is a response to the 1988 paper by Richard Roll that showed little relation between stock prices and news. The authors find that once news is correctly identified using advancements in textual analysis, there is considerably more evidence of a strong relationship between stock price changes and information.

Category: Think Tank

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

5 Responses to “Which News Moves Stock Prices? A Textual Analysis”

  1. ironman says:

    Gotta given them credit – they’re getting closer to understanding how news affects stock prices!…

  2. idaman says:

    Barry, very interesting, thanks, BUT you should point out that

    this is the opposite of keeping your strategy simple. It’s more noise.

    Besides, as far as I can tell, they are only measuring stock volatility on “news days” vs non-new days, which I take to mean intra-day movement. Retail investors odds of success rise the longer their time horizon.

    ~~~

    BR: Its an NBER paper, which is in the ThinkTank because it stimulates debate & discussion, It is NOT an investment discussion (not even under Investment category!)

  3. idaman says:

    my error. I see the categories under the article. I never noticed them before. my bad

  4. jbegan says:

    I trade the $5 and below market (because it’s bouncier..Just look at ABIO and ANX today for example). I spent a month logging the top 5 up moves in that range each day, the market direction, whether there was news or no news and ran it on a spreadsheet. My findings were that about 50% of the time, the run-up (normally in excess of 10% in one day, often much higher) was news related. The other 50% pretty much was either a technical bounce (resistance or moving averages for example), or a sympathy play off another stock that moved. As far as the top 5 were concerned, market direction had nothing to do with the picture.

    BTW, ABIO popped from 0.48 to 0.68 today on the ‘news’ that they were planning a Phase 3 drug test. ANX popped from 0.58 to 0.74 on the ‘news’ that they were actually enrolling people into their Phase 3 test. Not sure if that really qualifies as news, but it was the trigger for these massive runs.

  5. Frilton Miedman says:

    jbegan Says:
    January 30th, 2013 at 7:31 pm
    “I trade the $5 and below market (because it’s bouncier..Just look at ABIO and ANX today for example). ”

    ~~~

    I’ll wager you’re new at this.

    Of all stock categories, penny stocks are the worst.

    Within the penny stock category, pharma is the worst of the worst.

    If you’re only wagering spare money you’d otherwise spend at the track, and fully expect nothing, ignore what I said.