头版新闻:新闻定位对金融市场的影响Front Page News: The Effect of News Positioning on Financial Markets |
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课程网址: | http://videolectures.net/solomon_fedyk_financial_markets/ |
主讲教师: | Anastassia Fedyk |
开课单位: | 哈佛大学 |
开课时间: | 2017-06-12 |
课程语种: | 英语 |
中文简介: | 本文利用彭博终端上新闻文章定位的准随机变化,估计了关注新闻对金融市场的影响。我关注的是一类新闻文章,其中一些文章在独立于其内容的过程中被固定在新闻屏幕顶部突出的“头版”位置。这提供了一个自然的实验,在固定的物品和不固定的物品之间进行定位。无论是算法分析,还是活跃金融专业人士的目标受众,头版文章和非头版文章都无法区分。我发现,将一篇新闻文章贴在头版会导致在发布后的前十分钟内交易量增加280%,价格变化增加180%。这些文章还显示,短期价格波动更为强劲,五分钟水平的回报率持续上涨21%。这种影响在新闻发布后的前30-45分钟最强,并在随后的几个小时内部分逆转。对比不同编辑重要性的新闻文章后的不同反应表明,新闻定位在推动市场活动方面的作用甚至比新闻重要性更大。 |
课程简介: | 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. |
关 键 词: | 准随机变化; 算法分析; 目标受众 |
课程来源: | 视频讲座网 |
数据采集: | 2022-12-21:chenjy |
最后编审: | 2023-05-11:chenjy |
阅读次数: | 50 |