Unusual News Flow and the Cross Section of Stock Returns
研究发现，个股特质波动率突然上升时，未来收益会低于类似股票；这源于异常新闻流加剧投资者意见分歧，同时做空受限使股价先高后低。
We document that stocks that experience sudden increases in idiosyncratic volatility underperform otherwise similar stocks in the future, and we propose that this phenomenon can be explained by the Miller conjecture [Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168]. We show that volatility shocks can be traced to unusual firm-level news flow, which temporarily increases the level of investor disagreement about the firm value. At the same time, volatility shocks pose a barrier to short selling, preventing pessimistic investors from expressing their views. In the presence of divergent opinions and short-selling constraints, prices initially reflect optimistic views but adjust downward in the future as investors’ opinions converge. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2726 . This paper was accepted by Wei Xiong, finance.