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Not all the news fitting to reprint: Evidence from price-volume relationship

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  • Zhang, Zuochao
  • Shen, Dehua

Abstract

This paper investigates whether investors appropriately react to original news and reprinted news through the lens of price-volume relationship. We mainly find that: (1) none of these two types of news exhibit contemporaneous relationships with return volatility, suggesting the rejection of Mixture of Distribution Hypothesis; (2) there exists a significantly negative (positive) lead-lag relationship between reprinted (original) news and return volatility, which is in accordance with the Sequential Information Arrival Hypothesis; (3) the negative lead-lag relationship suggests that investors overact to stale news, leading to subsequent return reversal.

Suggested Citation

  • Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582
    DOI: 10.1016/j.frl.2024.105128
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