Stock Price Reaction to Public and Private Information

By Clara Vega. 2006

431 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6adf18fd7272308d176e9e74fce6a849eccbbb9d

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Citations in the corpus

Media Coverage and the Cross-Section of Stock Returns (2008, background): “We then manually match these company names with other 5 Vega (2006) also documents that media coverage and analyst forecast dispersion are positively correlated.”
The Media and Mispricing: The Role of the Business Press in the Pricing of Accounting Information (2014, neutral): “related to press coverage (Vega 2006; Peress 2008).”
The Information Role of Conservatism (2008, background): “…the pricing of information risk (Easley, Hvidkjaer, and O’Hara 2002, 2004, Botosan and Plumlee, 2004), variation in post earnings announcement drift (Vega, 2006), the effect of disclosure on information asymmetry (Easley, O’Hara, and Paperman 1998, Brown, Hillegeist and Lo, 2004), the sensitivity…”
The effect of news and public mood on stock movements (2014, background): “Vega [43] further investigated media influence, reporting that stocks associated with private information experience low or insignificant drifts and that stocks associated with public news only experience significant drifts.”
Does Asymmetric Information Drive Capital Structure Decisions (2009, neutral): “4An incomplete list includes earnings (Lee, Mucklow, and Ready, 1993; Krinsky and Lee, 1996; Chae, 2005; Vega, 2006), M&A (Chae, 2005), bankruptcy (Serednyakov, 2002), dividend (Graham, Koski, and Loewenstein, 2006), stock splits (Desai, Nimalendran, and Venkataraman, 1998), bond rating (Chae, 2005)”
Does Public Financial News Resolve Asymmetric Information (2010, background): “…also contributes to a growing literature on the impact of public news releases, which includes Stickel and Verrecchia (1994), Pritamani and Singal (2001), Chan (2003), Chae (2005), Vega (2006), Chava and Tookes (2007), Gutierrez and Kelley (2008), and Tetlock, SaarTsechansky, and Macskassy (2008).”
Why is PIN Priced (2008, neutral): “See Easley, Kiefer and O'Hara (1997), Easley, Kiefer, O'Hara and Paperman (1996) and Vega (2006).”
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, neutral): “…bond markets (e.g., Pearce and Roley (1985), French and Roll (1986), Ederington and Lee (1993), Veronesi (1999), Flannery and Protopapadakis (2001), Vega (2006), Tetlock (2010)), and foreign exchange markets (e.g., Urich and Wachtel (1984), Fleming and Remolona (1999), Balduzzi et al. (2001),…”
Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of Flows (2014, result): “Consistent with this view, several studies show that media coverage generates temporary upward price pressure on stocks in the news (Vega, 2006; Barber and Odean, 2008), a pattern attributed to investor overreaction to salient events (Huberman and Regev, 2001; Tetlock, 2011).”
Media-aware quantitative trading based on public Web information (2014, background): “Vega [38] further verified the media influence by revealing that stocks associated with private information experience low or insignificant drift while stocks associated with publicly-available news experience significant drift.”
How are Shorts Informed? Short Sellers, News, and Information Processing (2012, neutral): “Similarly, Vega (2006) finds more earnings momentum among stocks with high differences of opinion on news days.”
Does PIN affect equity prices around the world (2014, background): “…(Easley, O’Hara, and Srinivas, 1998) and types of securities (Easley et al., 1996), stock price reactions to public and private news surprises (Vega, 2006), the information effect of IPO underpricing (Ellul and Pagano, 2006), the corporate investment sensitivity to stock prices (Chen,…”