Download This PaperStock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum
Journal of Behavioral Finance, Forthcoming
58 Pages Posted: 13 Sep 2013 Last revised: 6 Apr 2016
Date Written: December 5, 2015
Abstract
This study finds that market's underreaction to good news is a driver of Gutierrez and Kelly's (2008) weekly momentum returns. By employing a dataset of 10.1 million news items in four regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news exhibit stronger return continuation. Our findings suggest that investors in international markets have similar underreaction to the same news characteristics.
Keywords: momentum, abnormal returns, underreaction, news sentiment, attention
JEL Classification: G12, G14, G15, D52, D82
Suggested Citation: Suggested Citation
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