Momentum ∗
نویسندگان
چکیده
This paper combines a comprehensive sample of intraday firm-level news arrivals with high-frequency price movements of individual stocks, thereby decomposing daily stock returns into news-driven and non-news driven components. Consistent with prior literature, we find that non-news driven return precedes a reversal. For news-driven return, however, we find strong evidence of return continuation. A strategy of news momentum that buys stocks with high news returns and sells stocks with low news returns generates an annualized return of 40.08% in the following week, with a 4-factor alpha of 40.44% controlling for the market, size, value, and momentum. This effect of news momentum is particularly pronounced for overnight and weekend news, and among small firms with less analyst coverage, higher volatility, and lower liquidity, which is consistent with imperfect investor reaction to news and limits to arbitrage. JEL classification: G02; G10; G14
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