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http://hdl.handle.net/10419/43206
  

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dc.contributor.authorGroß-Klußmann, Axelen_US
dc.contributor.authorHautsch, Nikolausen_US
dc.date.accessioned2010-03-29en_US
dc.date.accessioned2010-12-15T09:21:43Z-
dc.date.available2010-12-15T09:21:43Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-73618-
dc.identifier.urihttp://hdl.handle.net/10419/43206-
dc.description.abstractWe examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply are quantified by a high-frequency VAR model using 20 second intervals. Analyzing a cross-section of stocks traded at the London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a stronger influence of idiosyncratic noise. Furthermore, evidence for abnormal highfrequency returns after news in sentiments is shown.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/31en_US
dc.subject.jelG14en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordFirm-specific Newsen_US
dc.subject.keywordNews Sentimenten_US
dc.subject.keywordHigh-frequency Dataen_US
dc.subject.keywordVolatilityen_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordAbnormal Returnsen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwPublizitätspflichten_US
dc.subject.stwInformationseffizienzen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwSchätzungen_US
dc.subject.stwGroßbritannienen_US
dc.titleQuantifying high-frequency market reactions to real-time news sentiment announcementsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622759442en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200931-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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