Does Public Financial News Resolve Asymmetric Information

By Paul C. Tetlock. 2010

517 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d35c89b482ba6cfc9efdca17def21b5c0beddbad

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Citations in the corpus

Financial journalism, news sources and the banking crisis (2013, background): “Markets are mediated environments, responding more to constructed sensibilities than ‘hard objective’ data, and there is good evidence to demonstrate the relationship between share prices and media exposure (Davis, 2006; Tetlock, 2009).”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, unknown): “The fact that the sign of the reversal strategy return changes immediately after the announcement is also consistent with the evidence in Tetlock (2010) that returns on non-news days tend to reverse whereas returns on news days tend to continue.”
How are shorts informed (2012, methodology): “To compile our sample of news events, we use the Dow Jones archive as in Tetlock (2010).”
Retail Investor Attention and Stock Liquidity (2015, background): “First, our study contributes to the broad literature on the “investor recognition hypothesis” (i.e., Merton, 1987, Grullon et al., 2004; Tetlock, 2010; Fang and Peress, 2009).4 Merton (1987) asserts that “ceteris paribus, 3 We argue that the SVI captures investor attention in a more timely and…”
Media Coverage and the Cost of Debt (2019, unknown): “Tetlock (2010) ﬁnds that media coverage has a much greater impact on illiquid ﬁrms.”
Investor Attention and FX Market Volatility (2015, unknown): “Tetlock (2010) ﬁnd patterns in post-news returns and trading volumes consistent with asymmetric information models.”
Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of Flows (2014, background): “On the one hand, media coverage may reduce the cost of information acquisition and lessen the information asymmetry between firms and investors (Tetlock, 2010).”
Rumor Has It: Sensationalism in Financial Media (2015, background): “(JEL G14, G34, L82) The business press plays a key role in capital markets as a distributor of information (Tetlock 2010; Engelberg and Parsons 2011; Peress 2014).”
Market Reaction to Corporate Press Releases (2013, methodology): “If discretionary liquidity traders can choose when to trade, they will stay out of the market when the level of informational asymmetry is high and trade when it is low (e.g., Admati and Pfleiderer (1988), Foster and Viswanathan (1990), and Tetlock (2010)).”
Sparse Signals in the Cross‐Section of Returns (2018, unknown): “Hastie, Tibshirani, and Friedman (2001) provide a general introduction to the LASSO and give the intuition behind the “Betting on sparsity principle”, which suggests you assume that the underlying truth is sparse and use an `1 penalty to try to recover it.”
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, unknown): “…Ederington and Lee (1993), Veronesi (1999), Flannery and Protopapadakis (2001), Bernanke and Kuttner (2005), Vega (2006), Andersen et al. (2007), Tetlock (2010)), bond markets (e.g., Pearce and Roley (1985), French and Roll (1986), Ederington and Lee (1993), Veronesi (1999), Flannery and…”
Media Makes Momentum (2014, background): “On the one hand, coverage has been argued to disseminate information to a broad audience (Fang and Peress (2009)), to reduce information asymmetries (Tetlock (2010)), and to potentially lead to faster diffusion of new information as shown for specific events (e.g. Huberman and Regev (2001), Peress…”
News Trading and Speed (2012, unknown): “Finally, using that price change cannot be correlated with future innovation in asset value, we obtain equation (32).”