The Impact of Public Information on the Stock Market

By Mark L. Mitchell, J. Mulherin. 1994

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Predicting abnormal returns from news using text classification (2008, background): “Mitchell and Mulherin (1994) aggregated daily announcements by Dow Jones & Company into a single variable and found no correlation with market absolute returns and weak correlation with firm-specific absolute returns.”
An Automated Framework for Incorporating News into Stock Trading Strategies (2014, background): “Index Terms—Computer applications, evolutionary computing and genetic algorithms, learning, natural language processing, web text analysis Ç”
Stock Price Reaction to News and No-news: Drift and Reversal After Headlines (2003, unknown): “14 More recently , Mitchell and Mulherin ( 1994 ) document that while news moves aggregate market returns , the relationship is not very strong .”
The Role of the Media in the Internet IPO Bubble (2009, background): “in the late 1990s includes Cooper, Dimitrov, and Rau (2001), Ofek and Richardson (2002), (2003), Lamont and Thaler (2003), Brunnermeier and Nagel (2004), Loughran and Ritter (2004), and Griffin, Harris, and Topaloglu (2005).”
Information Demand and Stock Market Volatility (2012, background): “For example, Mitchel and Mulherin (1994) derive a metric of information flow by using the number of macroeconomic and firm-specific news announcements released by Dow Jones and Company on the Broadtape and in the Wall Street Journal.”
Soft information in earnings announcements: news or noise? (2008, background): “Numerous studies show that quantitative information about fundamentals explain only a small portion of asset price movements (e.g., Shiller (1981), Roll (1988), Mitchell and Mulherin (1994)).”
Public Information Arrival, Exchange Rate Volatility, and Quote Frequency (2000, background): “3 Mitchell and Mulherin (1994) examine the link between Dow Jones news announcements and aggregate stock market returns.”
Correlated Trading and Returns (2008, unknown): “…markets were not accompanied by major news, and on many days on which major news did appear, the stock market’s move was not exceptionally large; Mitchell and Mulherin (1994) report that variation in news announcements explains relatively little variation in trading volume on U.S. stock…”