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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 <a
class="moz-txt-link-freetext"
href="http://videolectures.net/solomon/">http://videolectures.net/solomon/</a><br>
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Predavala bo Nastya Fedyk iz Harvard Business School na temo vpliva
novic na financne trge.<br>
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Nstya Fedyk, Harvard Business School<br>
(<a class="moz-txt-link-freetext" href="http://www.hbs.edu/faculty/Pages/profile.aspx?facId=663923">http://www.hbs.edu/faculty/Pages/profile.aspx?facId=663923</a>)<br>
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<div><b>Title: </b>Front Page News: The Effect of News Positioning
on Financial Markets<br>
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<div><b>Abstract: </b>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.</div>
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