Read All About It: News Interpretation and Price Efficiency across the Capitalization Spectrum
研究使用五种词典分析同一新闻语料，发现金融专用词典产生正确符号的回报，而通用词典信号反转；大盘股在事件日吸收新闻，中小盘股则出现持续漂移和高异常交易量，表明信息逐步扩散，且漂移主要由非盈余新闻驱动。
The authors analyze the same news corpus using five lexicons, ranging from finance-adapted to general-purpose, and find dramatically different economic signals. Finance-adapted lexicons generate strong, correctly signed returns, whereas a general-purpose dictionary inverts the signal. Large-cap stocks absorb news by the event day, but mid- and small-cap stocks exhibit large persistent post-news drift, accompanied by persistently elevated abnormal volume—jointly consistent with gradual information diffusion. This delayed adjustment occurs among vetted index constituents, rather than opaque micro-caps. An earnings decomposition shows that the drift is driven primarily by non-earnings news, indicating that the effect extends beyond classical post-earnings-announcement drift.