סמינר במימון חשבונאות

Shimon Kogan,  IDC and UT, Austin 

What moves stock prices? Systematic factors aside, prior literature concludes that the

revelation of private information through trading, and not public news, is the primary driver.

We revisit the question by utilizing new textual analysis tools that allow us to better-identify

fundamental information in news. We find that such fundamental firm-level information is

an important source for stock price volatility, accounting for 20%-40% of overnight

volatility (compared to 5%-6% during trading hours). Moreover, we find that the

percentages of news-explained variance varies across firm characteristics and industries.