[Solomonov Seminar] 279. Solomonov seminar
marko.grobelnik at ijs.si
Wed May 24 13:29:26 CEST 2017
V petek 26. maja 2017 ob 10:00 bo v Oranzni predavalnici IJS 279.
Solomonov seminar. Predavalnica je v drugem nadstropju glavne stavbe IJS
na Jamovi 39. Posnetki preteklih seminarjev so na
Predavala bo Nastya Fedyk iz Harvard Business School na temo vpliva
novic na financne trge.
Nstya Fedyk, Harvard Business School
*Title: *Front Page News: The Effect of News Positioning on Financial
*Abstract: *This paper estimates the effect of attention to news on
financial markets, using quasi-random variation in positioning of news
articles on the Bloomberg terminal. I focus on a category of news
articles, some of which are pinned to the prominent "front page"
positions at the top of the news screen in a process independent of
their content. This offers a natural experiment in positioning between
the articles that are pinned and those that are not. The front page and
non-front page articles are indistinguishable by either algorithmic
analysis, or by the target audience of active finance professionals. I
find that pinning a news article to the front page leads to 280% higher
trading volumes and 180% larger price changes within the first ten
minutes after publication. These articles also see a much stronger
short-term price drift, with 21% higher continuation in returns at the
five-minute level. The effect is strongest during the first 30-45
minutes after the news, and partially reverses over subsequent hours. A
comparison against differential reactions following news articles of
varying editorial importance indicates that news positioning plays an
even stronger role in driving market activity than news importance.
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