First to ?Read? the News: News Analytics and Institutional Trading

Massimo Massa, Bastian von Beschwitz and Donald B Keim

No 10534, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the informational content of the news. Coverage in news analytics speeds up the market reaction in terms of stock price response and trading volume, and increases illiquidity immediately after the article. Furthermore, we document that traders learn dynamically about the precision of news analytics.

Keywords: Information; Institutional trading; Stock price reaction; Textual analysis (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2015-04
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (4)

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