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News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

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  • Jeon, Yoontae
  • McCurdy, Thomas H.
  • Zhao, Xiaofei

Abstract

Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.

Suggested Citation

  • Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
    • Handle: RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17
    DOI: 10.1016/j.jfineco.2021.08.002
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    Cited by:

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    3. Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Financial Management, Financial Management Association International, vol. 52(4), pages 677-710, December.
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    5. Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Post-Print hal-04325746, HAL.
    6. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).

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    More about this item

    Keywords

    Jumps; News frequency; Textual analysis; News content; Sentiment;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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