Unusual News Flow and the Cross Section of Stock Returns

• Turan G. Bali

  Corresponding Author

  Turan G. Bali

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  McDonough School of Business, Georgetown University, Washington, DC 20057

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  ,
• Andriy Bodnaruk

  Andriy Bodnaruk

  [email protected]

  College of Business Administration, University of Illinois at Chicago, Chicago, Illinois 60607

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  ,
• Anna Scherbina

  Anna Scherbina

  [email protected]

  Graduate School of Management, University of California at Davis, Davis, California 95616; and International Business School, Brandeis University, Waltham, Massachusetts 02453

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  ,
• Yi Tang

  Yi Tang

  [email protected]

  Gabelli School of Business, Fordham University, New York, New York 10023

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