Time Variation in the News–Returns Relationship
研究发现股票价格对新闻的反应速度随时间大幅变化，金融中介的风险承受能力、被动持股比例和新闻信息量会影响反应程度，并基于此构建的交易策略能获得高回报。
Abstract The speed of stock price reaction to news exhibits substantial time variation. Higher risk-bearing capacity of financial intermediaries, lower passive ownership of stocks, and more informative news increase price responses to contemporaneous news; surprisingly, these interaction variables also increase price responses to lagged news (underreaction). A simple model with limited attention and three investor types (institutional, noninstitutional, and passive) predicts the observed variation in news responses. A long–short trading strategy based on news sentiment earns high returns, which increase when conditioning on the interaction variables. The interactions we document are robust to the choice of news source.