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https://hdl.handle.net/10419/43206
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Groß-Klußmann, Axel | en |
dc.contributor.author | Hautsch, Nikolaus | en |
dc.date.accessioned | 2010-03-29 | - |
dc.date.accessioned | 2010-12-15T09:21:43Z | - |
dc.date.available | 2010-12-15T09:21:43Z | - |
dc.date.issued | 2009 | - |
dc.identifier.pi | urn:nbn:de:hebis:30-73618 | en |
dc.identifier.uri | http://hdl.handle.net/10419/43206 | - |
dc.description.abstract | We 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 |
dc.language.iso | eng | en |
dc.publisher | |aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCFS Working Paper |x2009/31 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | C32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Firm-specific News | en |
dc.subject.keyword | News Sentiment | en |
dc.subject.keyword | High-frequency Data | en |
dc.subject.keyword | Volatility | en |
dc.subject.keyword | Liquidity | en |
dc.subject.keyword | Abnormal Returns | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Ankündigungseffekt | en |
dc.subject.stw | Publizitätspflicht | en |
dc.subject.stw | Informationseffizienz | en |
dc.subject.stw | Marktliquidität | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Großbritannien | en |
dc.title | Quantifying high-frequency market reactions to real-time news sentiment announcements | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 622759442 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cfswop:200931 | en |
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