The authors find that the market's underreaction to good news is a driver of Gutierrez and Kelly's  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.
- Abnormal returns
- News sentiment