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Initial Investigations of Intra-Day News Flow of S&P500 Constituents

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  • Jim Kyung-Soo Liew

    ()
    (Finance Department, The Johns Hopkins Carey Business School Baltimore, MD 21202, USA)

  • Zhechao Zhou

    ()
    (Investment Technology Group, Inc., New York, NY 10006, USA)

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    Abstract

    In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the “novelty” score is on average 0.67 in this period vs . 2.09 prior to midday. This indicates that “new” news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature.

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    Bibliographic Info

    Article provided by MDPI, Open Access Journal in its journal Risks.

    Volume (Year): 2 (2014)
    Issue (Month): 2 (April)
    Pages: 89-102

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    Handle: RePEc:gam:jrisks:v:2:y:2014:i:2:p:89-102:d:34638

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    Related research

    Keywords: TRNA; news sentiments; intra-day prices; S&P500;

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    1. Sendhil Mullainathan & Andrei Shleifer, 2005. "The Market for News," American Economic Review, American Economic Association, vol. 95(4), pages 1031-1053, September.
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