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News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

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  • Jeon, Yoontae
  • McCurdy, Thomas H.
  • Zhao, Xiaofei

Abstract

Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.

Suggested Citation

  • Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
    • Handle: RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17
    DOI: 10.1016/j.jfineco.2021.08.002
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    3. Cavallo, Eduardo & Cepeda, Ana & Panizza, Ugo, 2024. "Environmental Damage News and Stock Returns: Evidence from Latin America," CEPR Discussion Papers 19154, C.E.P.R. Discussion Papers.
    4. Fabozzi, Francesco A. & Nazemi, Abdolreza, 2023. "News-based sentiment and the value premium," Journal of International Money and Finance, Elsevier, vol. 136(C).
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    8. Vu Le Tran & Guillaume Coqueret, 2023. "ESG news spillovers across the value chain," Post-Print hal-04325746, HAL.
    9. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    10. Chen, Sipeng & Li, Gang, 2023. "Why does option-implied volatility forecast realized volatility? Evidence from news events," Journal of Banking & Finance, Elsevier, vol. 156(C).
    11. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
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    13. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillover and connectedness in higher moments of European stock sector markets," Research in International Business and Finance, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Jumps; News frequency; Textual analysis; News content; Sentiment;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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