Unusual News Flow and the Cross Section of Stock Returns

Published Online:https://doi.org/10.1287/mnsc.2017.2726

References

  • Abreu D, Brunnermeier MK (2002) Synchronization risk and delayed arbitrage. J. Financial Econom. 66(2–3):341–360.CrossrefGoogle Scholar
  • Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.CrossrefGoogle Scholar
  • Andersen TG (1996) Return volatility and trading volume: An information flow interpretation of stochastic volatility. J. Finance 51(1):169–204.CrossrefGoogle Scholar
  • Ang A, Hodrick R, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.CrossrefGoogle Scholar
  • Bali TG, Cakici N (2008) Idiosyncratic volatility and the cross-section of expected returns. J. Financial Quant. Anal. 43(1):29–58.CrossrefGoogle Scholar
  • Bali TG, Cakici N, Whitelaw R (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.CrossrefGoogle Scholar
  • Barber BM, Odean T (2008) All that glitters: The effect of attention on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2):785–818.CrossrefGoogle Scholar
  • Berkman H, Henk VD, Jain PC, Koch P, Tice S (2009) Sell on the news: Differences of opinion and returns around earnings announcements. J. Financial Econom. 92(3):376–399.CrossrefGoogle Scholar
  • Bernhardt D, Xiao Z, Wan C (2016) The reluctant analyst. J. Accounting Res. 54(4):987–1040.CrossrefGoogle Scholar
  • Boehme RD, Danielsen BR, Sorescu SM (2006) Short-sale constraints, differences of opinion, and overvaluation. J. Financial Quant. Anal. 41(2):455–487.CrossrefGoogle Scholar
  • Boehme RD, Danielsen BR, Kumar P, Sorescu SM (2009) Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977). J. Financial Markets 12(3):438–468.CrossrefGoogle Scholar
  • Boyer B, Mitton T, Vorkink K (2010) Expected idiosyncratic skewness. Rev. Financial Stud. 23(1):169–202.CrossrefGoogle Scholar
  • Cao J, Leng T, Liu B, Megginson W (2016) Institutional bidding in IPO allocation: Evidence from China. Working paper, Singapore Management University, Singapore.Google Scholar
  • Chatterjee S, John K, Yan A (2012) Takeovers and divergence of opinion. Rev. Financial Stud. 25(1):227–277.CrossrefGoogle Scholar
  • Chen J, Hong H, Stein J (2001) Breadth of ownership and stock returns. J. Financial Econom. 66(2–3):171–206.CrossrefGoogle Scholar
  • Chen Z, Petkova R (2012) Does idiosyncratic volatility proxy for risk exposure? Rev. Financial Stud. 25(9):2745–2787.CrossrefGoogle Scholar
  • Clayton MC, Hartzell JC, Rosenberg J (2005) The impact of CEO turnover on equity volatility. J. Bus. 78(5):1779–1808.CrossrefGoogle Scholar
  • Cohen L, Frazzini A (2008) Economic links and predictable returns. J. Finance 63(4):1977–2011.CrossrefGoogle Scholar
  • Conrad J, Kapadia N, Xing Y (2014) Death and jackpot: Why do individual investors hold overpriced stocks? J. Financial Econom. 113(3):455–475.CrossrefGoogle Scholar
  • Daniel K, Titman S (1997) Evidence on the characteristics of cross-sectional variation in stock returns. J. Finance 52(1):1–33.CrossrefGoogle Scholar
  • DeLong JB, Shleifer A, Summers L, Waldmann RJ (1990) Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45(2):375–395.Google Scholar
  • Diether K, Malloy C, Scherbina A (2002) Differences of opinion and the cross-section of stock returns. J. Finance 57(1):2113–2141.CrossrefGoogle Scholar
  • Engelberg JE, Reed AV, Ringgenberg MC (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.CrossrefGoogle Scholar
  • Fama EF, French KR (1992) The cross-section of expected stock returns. J. Finance 46(2):427–466.CrossrefGoogle Scholar
  • Fama EF, French KR (1993) Common risk factors in the returns of stocks and bonds. J. Financial Econom. 33(1):3–56.CrossrefGoogle Scholar
  • Fama EF, French KR (1997) Industry costs of equity. J. Financial Econom. 43(2):153–193.CrossrefGoogle Scholar
  • Fama EF, MacBeth J (1973) Risk, return and equilibrium: Empirical tests. J. Political Econom. 51(3):55–84.Google Scholar
  • Fu F (2009) Idiosyncratic risk and the cross-section of expected stock returns. J. Financial Econom. 91(1):24–37.CrossrefGoogle Scholar
  • Gervais S, Kaniel R, Mingelgrin D (2001) The high-volume return premium. J. Finance 56(3):877–919.CrossrefGoogle Scholar
  • Grinblatt M, Moskowitz T (1999) Do industries explain momentum? J. Finance 54(4):1249–1290.CrossrefGoogle Scholar
  • Gromb D, Vayanos D (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs. J. Financial Econom. 66(2–3):361–407.CrossrefGoogle Scholar
  • Harris M, Raviv A (1993) Differences of opinion make a horse race. Rev. Financial Stud. 6(3):475–506.CrossrefGoogle Scholar
  • Harrison JM, Kreps DM (1978) Speculative investor behavior in a stock market with heterogeneous expectations. Quart. J. Econom. 92(2):323–336.CrossrefGoogle Scholar
  • Harvey CR, Siddique A (2000) Conditional skewness in asset pricing tests. J. Finance 55(3):1263–1295.CrossrefGoogle Scholar
  • Healy PM, Palepu KG (2001) Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. J. Accounting Econom. 31(1–3):405–440.CrossrefGoogle Scholar
  • Hong H, Scheinkman JA, Xiong W (2006) Asset float and speculative bubbles. J. Finance 61(3):1073–1117.CrossrefGoogle Scholar
  • Houge T, Loughran T, Suchanek G, Yan X (2001) Divergence of opinion, uncertainty, and the quality of initial public offerings. Financial Management 30(Winter):5–23.CrossrefGoogle Scholar
  • Huang W, Liu Q, Rhee G, Zhang L (2010) Return reversals, idiosyncratic risk, and expected returns. Rev. Financial Stud. 23(1):147–168.CrossrefGoogle Scholar
  • Hwang B-H, Lou D, Yin CA (2016) Offsetting disagreement and security prices. Working paper, Cornell University, Ithaca, NY.Google Scholar
  • Jegadeesh N (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(100):65–91.CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (2001) Profitability of momentum strategies: An evaluation of alternative explanations. J. Finance 54(2):699–720.CrossrefGoogle Scholar
  • Loughran T, Marietta-Westberg J (2005) Divergence of opinion surrounding extreme events. Eur. Financial Management 11(5):579–601.CrossrefGoogle Scholar
  • Maheu JM, McCurdy TH (2004) News arrival, jump dynamics, and volatility components for individual stock returns. J. Finance 59(2):755–793.CrossrefGoogle Scholar
  • Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.CrossrefGoogle Scholar
  • Mitchell M, Pulvino T, Stafford E (2002) Limited arbitrage in equity markets. J. Finance 57(2):551–584.CrossrefGoogle Scholar
  • Morris S (1996) Speculative investor behavior and learning. J. Financial Econom. 111(4):1111–1133.Google Scholar
  • Nelson DB (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59(2):347–370.CrossrefGoogle Scholar
  • Newey WK, West KD (1987) A simple, positive-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.CrossrefGoogle Scholar
  • Pagan AR, Schwert GW (1990) Alternative models for conditional stock volatility. J. Econometrics 45(1–2):267–290.CrossrefGoogle Scholar
  • Pontiff J (2006) Costly arbitrage and the myth of idiosyncratic risk. J. Accounting Econom. 42(1–2):35–52.CrossrefGoogle Scholar
  • Scheinkman JA, Xiong W (2003) Overconfidence and speculative bubbles. J. Political Econom. 111(6):1183–1219.CrossrefGoogle Scholar
  • Scherbina A (2008) Suppressed negative information and future underperformance. Rev. Finance 12(3):533–565.CrossrefGoogle Scholar
  • Scherbina A, Schlusche B (2016) Economic linkages inferred from news stories and the predictability of stock returns. Working paper, University of California, Davis, Davis.Google Scholar
  • Shleifer A, Summers LH (1990) The noise trader approach to finance. J. Econom. Perspect. 4(2):19–33.CrossrefGoogle Scholar
  • Shleifer A, Vishny R (1997) The limits of arbitrage. J. Finance 52(1):35–55.CrossrefGoogle Scholar
  • Spiegel MI, Wang X (2005) Cross-sectional variation in stock returns: Liquidity and idiosyncratic risk. Working paper, Yale School of Management, New Haven, CT.Google Scholar
  • Tetlock PC (2007) Giving content to investor sentiment: The role of media in the stock market. J. Finance 62(3):1139–1168.CrossrefGoogle Scholar
  • Xiong W (2001) Convergence trading with wealth effects: An amplification mechanism in financial markets. J. Financial Econom. 62(2):247–292.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.