News and Sentiment
Research on news, investor attention, and the consequences of incomplete information coverage.
Curated by Signal & Evidence. Read our research approach for how we distinguish author findings from house tests.
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A study of earnings announcements finds delayed macro information in subsequent stock returns. Trading it requires precise timing.
Study: Firm–specific information processing and the delayed discovery of macroeconomic news: evidence from earnings announcement returns
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The disagreement measure is elegant. Substituting the event feed changed the research problem.
Study: News-based investor disagreement and stock returns
