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dc.contributor.authorGroß-Klußmann, Axelen
dc.contributor.authorHautsch, Nikolausen
dc.date.accessioned2010-03-29-
dc.date.accessioned2010-12-15T09:21:43Z-
dc.date.available2010-12-15T09:21:43Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hebis:30-73618en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2009/31en
dc.subject.jelG14en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordFirm-specific Newsen
dc.subject.keywordNews Sentimenten
dc.subject.keywordHigh-frequency Dataen
dc.subject.keywordVolatilityen
dc.subject.keywordLiquidityen
dc.subject.keywordAbnormal Returnsen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwVolatilitäten
dc.subject.stwAnkündigungseffekten
dc.subject.stwPublizitätspflichten
dc.subject.stwInformationseffizienzen
dc.subject.stwMarktliquiditäten
dc.subject.stwSchätzungen
dc.subject.stwGroßbritannienen
dc.titleQuantifying high-frequency market reactions to real-time news sentiment announcements-
dc.typeWorking Paperen
dc.identifier.ppn622759442en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200931en

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