Assimilation of oil news into prices

被引：12
|
作者：
Loughran, Tim [1 ]
McDonald, Bill [1 ]
Pragidis, Ioannis [2 ]
机构：
[1] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA
[2] Democritus Univ Thrace, Dept Econ, Univ Campus, Komotini 69100, Greece
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2019年 / 63卷
基金：
欧盟地平线“2020”;
关键词：
Textual analysis; News stories; Oil prices; Overreaction; Tone; TEXTUAL ANALYSIS; MEDIA; SENTIMENT; INFORMATION; FINANCE; TALK;
D O I：
10.1016/j.irfa.2019.03.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Do investors quickly and rationally react to the content of oil-related news articles revealing supply and demand information? Our paper creates a novel keyword list of 130 oil-related words and modifiers that enable investors/researchers to measure the information content of oil stories. We find significant short-term overreaction to the text of Dow Jones oil-related news articles. Phrases like output cut, production cut, shortage, and demand up in lagged news articles are associated with lower oil prices the following trading day. The evidence is consistent with the notion that oil traders overreact to the content of widely-read news articles.
引用
收藏
页码：105 / 118
页数：14
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