题目：【RFS】信息、交易和波动：来自公司特定新闻的证据

THEREVIEW OF FINANCIAL STUDIES • VOL.32, NO. 1 • MARCH 2019

信息、交易和波动：来自公司特定新闻的证据

作者：Jacob Boudoukh (Arison School ofBusiness, IDC Herzliya),

RonenFeldman (School of Business Administration, The Hebrew University),

ShimonKogan (Arison School of Business, IDC Herzliya and Sloan School of Management,MIT),

MatthewRichardson (Stern School of Business, New York University and NBER)

摘要：什么影响股价？之前的文献得出结论是，交易揭露的私人信息而非公共新闻是主要的驱动因素。本文通过文本分析来识别新闻中的基本信息，从而重新审视这个问题。本文发现，这类信息解释了隔夜异质性波动率的49.6%（vs.交易时段为12.4%），其中相当大的一部分波动是由于当天有多种新闻类型。通过使用新闻中反应的公共信息，本文调查了涵盖股票收益率影响因素的两个重要贡献因子及各自的   。

Information,Trading, and Volatility: Evidence from Firm-Specific News

JacobBoudoukh (Arison School of Business, IDC Herzliya), Ronen Feldman (School ofBusiness Administration, The Hebrew University), Shimon Kogan (Arison School ofBusiness, IDC Herzliya and Sloan School of Management, MIT), Matthew Richardson(Stern School of Business, New York University and NBER)

ABSTRACT

What moves stock prices? Prior literature concludes that therevelation of private information through trading, and not public news, is theprimary driver. We revisit the question by using textual analysis to identifyfundamental information in news. We find that this information accounts for49.6% of overnight idiosyncratic volatility (vs. 12.4% during trading hours),with a considerable fraction due to days with multiple news types. We use ourmeasure of public information arrival to reinvestigate two importantcontributions in the literature related to individual   s of stock returns on aggregatefactors.

原文链接：

https://academic.oup.com/rfs/article-abstract/32/3/992/5061375?redirectedFrom=fulltext

翻译：吕越