Market Reaction to Corporate Press Releases
将公司新闻稿分类为主题，研究市场对不同类型新闻的反应，发现除财务新闻外，战略、客户、产品等新闻也显著影响股价，且多数新闻降低信息不对称但增加波动性。
Abstract We classify a unique and comprehensive data set of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate strategy, customers and partners, products and services, management changes, and legal developments. Consistent with regulators' expectations, the level of informational asymmetry in the market declines following most types of press releases. At the same time, return volatility frequently increases in the post-announcement period, which we show can be attributed to higher levels of valuation uncertainty.