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News and intraday jumps: Evidence from regularization and class imbalance

Author

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  • Caporin, Massimiliano
  • Poli, Francesco

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.

Suggested Citation

  • Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    • Handle: RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900
    DOI: 10.1016/j.najef.2022.101743
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    More about this item

    Keywords

    Price jumps; Returns predictability; News data; Financial text mining;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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