Stock price reaction to news: The joint effect of tone and attention on momentum

Thanh D. Huynh, Daniel R. Smith

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Abstract

The authors find that the market's underreaction to good news is a driver of Gutierrez and Kelly's [2008] weekly momentum returns. By employing a dataset of 10.1 million news items in 4 regions (the U.S., Europe, Japan, and Asia Pacific), they find that stocks having important and positive news exhibit stronger return continuation. The study findings suggest that investors in international markets have similar underreaction to the same news characteristics.

Original languageEnglish
Pages (from-to)304-328
Number of pages25
JournalJournal of Behavioral Finance
Volume18
Issue number3
DOIs
Publication statusPublished - 2017

Keywords

  • Abnormal returns
  • Attention
  • Momentum
  • News sentiment
  • Underreaction

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