Stock Price Reaction to News and No-news: Drift and Reversal After Headlines

By Wesley S. Chan. 2003

890 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/41b5fba72564aa33f4bce51e0f7484c3ba482f4b

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Citations in the corpus

The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes (2013, neutral): “Chan (2003) studies underreaction to public news about a firm, identified by the presence of a newswire or a press article.”
The Role of the Business Press as an Information Intermediary (2010, neutral): “Dyck and Zingales [2002, 2004] provide evidence in an international setting that the media plays a role in corporate governance and influences firms’ behavior.”
Sentiment During Recessions (2012, neutral): “For other related papers see Cutler et al. (1989), Huberman and Regev (2001), Klibanoff et al. (1998), Chan (2003), Kaniel et al. (2007), Schmitz (2007), Barber and Odean (2008), Engelberg (2008), Gaa (2008), Tetlock et al. (2008), Yuan (2008), Bhattacharya et al.”
The Disposition E ff ect and Underreaction to News (2006, neutral): “Holdings are set to missing whenever 1. the number of shares in a fund portfolio exceeds the total amount of shares outstanding at a particular date; 2. the value of the fund's holding of a particular stock on a particular date is larger than the total asset value of the fund reported by CDA; 3.…”
Selective Publicity and Stock Prices (2012, neutral): “Chan (2003) examines the relationship between news coverage and momentum, while Fang and Peress (2009) find that greater media coverage is associated with lower stock returns, which they attribute to investor attention lowering the cost of capital (Merton (1987)).”
Information and Efficiency: Goal Arrival in Soccer Betting (2014, neutral): “Meanwhile, Chan (2003) examines returns to a subset of stocks after public news about them is released and finds evidence of post-news drift.6 Somewhat problematically considering the objective of such enquiries, it can be hard to tell when news actually breaks in financial markets—it is difficult…”
The Stock Sonar - Sentiment Analysis of Stocks Based on a Hybrid Approach (2011, positive): “(Chan 2003; Tetlock, Saar-Tsechansky, and Macskassy 2008) have found that stock prices under-react to news stories and company events, and therefore investors may be able to achieve abnormal returns by following signals conveyed in news articles.”
Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil (2019, neutral): “Chan (2003) finds that stocks with bad news in particular exhibit momentum, especially in the case of small, low priced and illiquid stocks due to limits to arbitrage and slow investor reaction, while stocks without news do not.”
Does the media spotlight burn or spur innovation? (2020, neutral): “…may publish sensational articles to cater to readers (Core, Guay, and Larcker, 2008; 1 See, for example, Klibanoff, Lamont, and Wizman (1998), Chan (2003), Tetlock (2007), Tetlock, SaarTsechansky, and Macskassy (2008), Fang and Peress (2009), Bushee, Core, Guay, and Hamm (2010), Blankespoor,…”
An Automated Framework for Incorporating News into Stock Trading Strategies (2014, neutral): “The relation between news announcements and monthly returns is also investigated in [11].”
Media Coverage and the Cost of Debt (2019, neutral): “We expect the impact of media coverage on such firms to be stronger, given the evidence on post-IPO CEO performance (Pan, Wang, and Weisbach (2015)) and evidence of stock seasoning https://doi.”
More than Words: Quantifying Language to Measure Firms' Fundamentals (2008, neutral): “One pattern in these regressions is somewhat analogous to the main result in Chan (2003).”
Media Makes Momentum (2014, neutral): “Chan, Hameed, and Tong (2000) or Moskowitz, Ooi, and Pedersen (2012). Momentum effects in other asset classes have been identified in e.”
The cost of pride: Why do firms from developing countries bid higher? (2011, neutral): “13 Factiva is a widely used source for media coverage in current and recent international research (e.g., Chan 2003; Bhattacharya, Galpin, Ray, and Yu 2008; Dyck, Volchkova, and Zingales 2008).”