News and intraday jumps: Evidence from regularization and class imbalance

Massimiliano Caporin and Francesco Poli

The North American Journal of Economics and Finance, 2022, vol. 62, issue C

Abstract: We study how information provokes intraday price jumps taking into account, besides news timing, the sentiment of news stories and other high-frequency indicators. By applying penalized logistic regression and addressing the rare nature of jumps, in addition to the previous evidence showing that causes of jumps are rate decisions and earnings announcements, we find that news provoking jumps is often followed by other news about the same company, that news stories sentiment and macro-surprises sign help to predict the jump sign, and, finally, that market players sometimes anticipate company-specific news.

Keywords: Price jumps; Returns predictability; News data; Financial text mining (search for similar items in EconPapers)
JEL-codes: C22 C25 C55 C58 G10 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900

DOI: 10.1016/j.najef.2022.101743

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