The Inefficient Pricing of News

Antoine Didisheim, Bryan T. Kelly, Mohammad Pourmohammadi and Hanqing Tian

No 35093, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The stock market fails to efficiently process information in news text (Chen et al., 2026). But news itself is highly predictable by prevailing stock characteristics, which complicates inferences about market efficiency. After purging news of its predictable content, the resulting “news shocks” more than double the monthly return predictive power of raw news, and they continue to significantly predict returns up to 18 months ahead. The magnitude and longevity of the news shock anomaly is larger than every anomaly in the Jensen et al. (2022) universe. The news shock anomaly derives from negative-tone and quantitative topics to which investors underreact and from high-attention and ambiguous topics to which investors overreact.

JEL-codes: C45 C58 G02 G1 G11 G12 G14 G17 G40 G41 (search for similar items in EconPapers)
Date: 2026-04
New Economics Papers: this item is included in nep-mst
Note: AP
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w35093.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:35093

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w35093
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().