Stock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum

Thanh Huynh and Daniel R. Smith

Journal of Behavioral Finance, 2017, vol. 18, issue 3, 304-328

Abstract: The authors find that the market's underreaction to good news is a driver of Gutierrez and Kelly's [2008] weekly momentum returns. By employing a dataset of 10.1 million news items in 4 regions (the U.S., Europe, Japan, and Asia Pacific), they find that stocks having important and positive news exhibit stronger return continuation. The study findings suggest that investors in international markets have similar underreaction to the same news characteristics.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/10.1080/15427560.2017.1339190 (text/html)
Access to full text is restricted to subscribers.

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:taf:hbhfxx:v:18:y:2017:i:3:p:304-328

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/hbhf20

DOI: 10.1080/15427560.2017.1339190

Access Statistics for this article

Journal of Behavioral Finance is currently edited by Brian Bruce

More articles in Journal of Behavioral Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().