Do US Stock Markets Typically Overreact to Corporate News Stories

By Werner Antweiler, Murray Z. Frank. 2006

145 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cc352475f05c0967f435a969d4d83f22882dc9d5

How researchers see this paper

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

In Accounting

1. Vidhan K. Goyal
2. Murray Z. Frank
3. Matthew C. Ringgenberg
4. Joseph E. Engelberg
5. Adam V. Reed
6. Camila C. Pereira
7. Andreas Neuhierl
8. Bernd Schlusche

In Economics and Econometrics

1. Joseph E. Engelberg
2. Camila C. Pereira
3. Andreas Neuhierl
4. Bernd Schlusche
5. A. Scherbina
6. Qing Li
7. Ping Li
8. Yuanzhu Peter Chen

In Finance

1. Joseph E. Engelberg
2. Vidhan K. Goyal
3. Matthew C. Ringgenberg
4. Murray Z. Frank
5. Camila C. Pereira
6. Adam V. Reed
7. Andreas Neuhierl
8. A. Scherbina

Citations in the corpus

• How are shorts informed (2012, background): “Categorizing all Wall Street Journal stories between 1973 and 2001, Antweiler and Frank (2006) find that return responses vary widely across news categories, although they find evidence of overreaction (return reversal) on average.”
• Textual analysis in finance (2019, methodology): “…to predict the pessimism and optimism of internet messages (Antweiler and Frank, 2004), the tone in analyst reports (Huang et al., 2014) and corporate filings (Li, 2010), among other applications (Antweiler and Frank, 2006; Das and Chen, 2007; Agarwal et al., 2016; Buehlmaier and Whited, 2018a).”
• How are Shorts Informed? Short Sellers, News, and Information Processing (2012, background): “The first alternative explanation posits that some buyers make systematic mistakes around news events (see, e.g., Antweiler and Frank, 2006), and that these 12 mistakes are reflected in market makers’ offsetting short sales.”
• The effect of news and public mood on stock movements (2014, methodology): “Here, we classify our training articles into seven categories: corporate governance, earnings reports, and financial, general, legal, operational, and restructuring issues, as suggested by Antweiler and Frank [4].”
• Trade-Off and Pecking Order Theories of Debt (2007, background): “The announcement effects are positive when common stock is repurchased (see Masulis, 1980b; Dann, 1981; Antweiler and Frank, 2006).”
• customers as advisors: the role of social media in financial markets (2011, unknown): “, Odean (1998); Barber and Odean (2000); Benartzi and Thaler (2001)).”
• The Role of the Media in the Internet IPO Bubble (2009, result): “Our findings are also consistent with Antweiler and Frank (2005).”
• Costly Information Processing: Evidence from Earnings Announcements (2008, methodology): “At first glance, it might seem as if subject categorization techniques used in the prior literature (Antweiler and Frank (2003, 2005)) would be an appropriate approach.”
• Market Reaction to Corporate Press Releases (2013, methodology): “In contrast, Antweiler and Frank (2005) document that the market tends to overreact to corporate news events reported in the WSJ.”
• All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011, unknown): “Beyond the papers cited above, recent contributions include Barber and Loeffler (1993), Busse and Green (2001), Antweiler and Frank (2006), Das and Chen (2007), Tetlock (2007), Engelberg (2008), and Fang and Peress (2009).”