Not all the news fitting to reprint: Evidence from price-volume relationship

Zuochao Zhang and Dehua Shen

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: This paper investigates whether investors appropriately react to original news and reprinted news through the lens of price-volume relationship. We mainly find that: (1) none of these two types of news exhibit contemporaneous relationships with return volatility, suggesting the rejection of Mixture of Distribution Hypothesis; (2) there exists a significantly negative (positive) lead-lag relationship between reprinted (original) news and return volatility, which is in accordance with the Sequential Information Arrival Hypothesis; (3) the negative lead-lag relationship suggests that investors overact to stale news, leading to subsequent return reversal.

Keywords: Original news; Reprinted news; Return volatility; SIAH; MDH (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582

DOI: 10.1016/j.frl.2024.105128

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