Are Economically Significant Stock Returns and Trading Volumes Driven by Firm‐specific News Releases?
研究公司特定新闻是否驱动股票价格和交易量的显著变化，发现至少65%的显著变化可由公开信息解释，其中卖方分析师建议和盈利预测修正影响最大，但公司正式会计披露的市场反应幅度最大。
This paper explores whether firm‐specific information events drive economically relevant positive and negative stock price changes and trading volume and, if so, the nature of such information. We find that no less than 65% of significant price changes and trading volume movements in our sample of FTSE 350 companies can be readily explained by public domain information contradicting the thesis that corporate news is not a primary driver, and that share price changes and trading volume activity are driven by factors unrelated to information flows per se. In addition, we find that a parsimonious set of news categories represent the key drivers. Sell‐side analyst stock recommendations and earnings forecast revisions as a class, unaccompanied by other news releases, dominate all other news categories in terms of significant market reaction. However, taking into account the relative magnitude of market response to different news releases, firms’ formal accounting disclosures dominate within this domain. As such, we conclude these are not fully anticipated by apparently more timely market disclosures, and that the existence of news services and the activities of the sell‐side analyst are not substitutes for a firm's interim and preliminary results.