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

Citations

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Cited by:

  1. Ammann, Manuel & Cochardt, Alexander & Cohen, Lauren & Heller, Stephan, 2026. "Hidden alpha," Journal of Financial Economics, Elsevier, vol. 178(C).
  2. Liying Zhang & Ying Gao, 2025. "An Efficient Machine Learning Framework for Option Pricing via Fourier Transform," Papers 2512.16115, arXiv.org, revised Dec 2025.
  3. Christensen, Kim & Timmermann, Allan & Veliyev, Bezirgen, 2025. "Warp speed price moves: Jumps after earnings announcements," Journal of Financial Economics, Elsevier, vol. 167(C).
  4. Yang, Jing & Xiong, Yan, 2024. "Social media sentiment contagion and stock price jumps and crashes," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
  5. Gu, Ming & Hirshleifer, David & Teoh, Siew Hong & Wu, Shijia, 2025. "GIFfluence: A Visual Approach to Investor Sentiment and the Stock Market," MPRA Paper 127438, University Library of Munich, Germany.
  6. Cavallo, Eduardo & Cepeda, Ana & Panizza, Ugo, 2024. "Environmental Damage News and Stock Returns: Evidence from Latin America," CEPR Discussion Papers 19154, Centre for Economic Policy Research.
  7. Fabozzi, Francesco A. & Nazemi, Abdolreza, 2023. "News-based sentiment and the value premium," Journal of International Money and Finance, Elsevier, vol. 136(C).
  8. Ming Gu & David Hirshleifer & Siew Hong Teoh & Shijia Wu, 2025. "GIFfluence: A Visual Approach to Investor Sentiment and the Stock Market," Papers 2512.20027, arXiv.org.
  9. Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Post-Print hal-04325746, HAL.
  10. Huang, Rui & Chen, Xing & Wu, Chongfeng, 2025. "The textual similarity of news content and stock return synchronicity," Emerging Markets Review, Elsevier, vol. 67(C).
  11. Chu, Xiaojun & Zhou, Haigang, 2026. "The impact of investor attention to the federal reserve on jumps in China’s stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 106(C).
  12. 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).
  13. Songrun He, 2026. "Interpretable Systematic Risk around the Clock," Papers 2604.13458, arXiv.org.
  14. Zhang, Min & Chen, Guorong & Deng, Jing, 2025. "Does biodiversity attention affect risk spillover in the AFHF sectors?—Evidence from Chinese stock markets," Finance Research Letters, Elsevier, vol. 82(C).
  15. Liu, Tong & Shi, Yanlin, 2025. "News sentiment and investment risk management: Innovative evidence from the large language models," Economics Letters, Elsevier, vol. 247(C).
  16. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  17. Bibinger, Markus & Hautsch, Nikolaus & Ristig, Alexander, 2026. "Jump detection in high-frequency order prices," Journal of Econometrics, Elsevier, vol. 253(C).
  18. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillover and connectedness in higher moments of European stock sector markets," Research in International Business and Finance, Elsevier, vol. 68(C).
  19. Jiang, Jiaqi & Zhang, Zhipeng & Cheng, Gongpin, 2024. "Corporate violations, traditional media and stock returns: Evidence from Chinese listed companies," Finance Research Letters, Elsevier, vol. 69(PA).
  20. Chen, Jian & Qi, Shuyuan, 2024. "Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules," Journal of Banking & Finance, Elsevier, vol. 163(C).
  21. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Jesus Pantoja Cárdenas, 2026. "Long Memory and Asymmetric Uncertainty Effects on Stock Returns and Volatility: A Fractional Integration Approach," CESifo Working Paper Series 12806, CESifo.
  22. Babolmorad, N. & Massoud, N., 2025. "Supervising Sentiment Models: Market Signals or Human Expertise?," Cambridge Working Papers in Economics 2577, Faculty of Economics, University of Cambridge.
  23. Hong, Eunpyo & Kottimukkalur, Badrinath & Noh, Joonki, 2026. "Uncertain Text and Price Reactions to Earnings Releases," Journal of Banking & Finance, Elsevier, vol. 182(C).
  24. Meriem Meskini & Tanvir S. Mahmud & Sagar Ray & Amy Richter & Tahlima T. Sithi & Kelvin Tsun Wai Ng, 2026. "Sustainability, profitability, and resiliency of the fast fashion industries during a pandemic," Energy & Environment, , vol. 37(1), pages 266-281, February.
  25. Jinshui Huang & Jun Wang & Xiaoman Jin, 2024. "Direct interaction in digital interactive media and stock performance: Evidence from Panorama," PLOS ONE, Public Library of Science, vol. 19(5), pages 1-29, May.
  26. Sun, Chuanwang & Wu, Boyu, 2024. "Closer economic distance makes positive carbon-related attitude: Evidence from the mechanism of sentiment tendency in worldwide news coverage of India," Energy Policy, Elsevier, vol. 185(C).
  27. Singh, Amanjot, 2023. "Data breaches (hacking) and trade credit," Global Finance Journal, Elsevier, vol. 57(C).
  28. Keloharju, Matti & Keluharju, Roope, 2025. "Accounting Research in the Age of AI," Working Paper Series 1528, Research Institute of Industrial Economics, revised 29 Jul 2025.
  29. Zhang, Yuan-Yuan & Zhang, Yue-Jun, 2022. "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models," International Review of Financial Analysis, Elsevier, vol. 84(C).
  30. 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.
  31. Pereira, Camila C. & Bastos, Saulo B. & Cajueiro, Daniel O., 2025. "The words that lead to uncertainty: A measure based on word embeddings," Economic Systems, Elsevier, vol. 49(3).
  32. Enmao Liu & Cong Sui, 2026. "Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(3), pages 489-510, March.
  33. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
  34. Sobti, Neharika, 2025. "What triggers intraday price jumps and co-jumps in gold?," International Review of Financial Analysis, Elsevier, vol. 105(C).
  35. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
  36. Huang, Rui & Wu, Chongfeng, 2025. "Tell less, get more? News topic concentration and stock market reaction," Finance Research Letters, Elsevier, vol. 84(C).
  37. Jacobs, Heiko & Lauber, Alexander, 2026. "Media reporting and asset pricing models," Journal of Banking & Finance, Elsevier, vol. 182(C).
  38. Fernandes, Marcelo & Pereira, Murilo A.P., 2025. "Forecasting realized volatility using news flow," The Quarterly Review of Economics and Finance, Elsevier, vol. 104(C).
  39. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
  40. Jonathan Brogaard & Konstantin Sokolov & Jiang Zhang, 2025. "Strategic Liquidity Provision and Extreme Volatility Spikes," Management Science, INFORMS, vol. 71(11), pages 9071-9103, November.
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