Front‐Page News: The Effect of News Positioning on Financial Markets
利用彭博终端上新闻文章的头版定位外生变化，发现头版文章在发布后10分钟内交易量高出240%，绝对超额收益高出176%，信息在一小时内完全融入价格，而非头版信息需两天以上。
ABSTRACT This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (“front‐page”) positioning of news articles on the Bloomberg terminal. Front‐page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non‐front‐page articles. Overall, the information in front‐page articles is fully incorporated into prices within an hour of publication. The response to non‐front‐page information of similar importance eventually converges but takes more than two days to be fully reflected in prices.