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Professor of Finance
JEL Classification: G10; G12; G14
Von Beschwitz B., Keim D. B., Massa M. (2020). First to 'Read' the News: News Analytics and Algorithmic Trading Review of Asset Pricing Studies Review of Asset Pricing Studies, 10(1), pp. 122-178.
Exploiting a unique identification strategy based on inaccurate news analytics, the authors document an effect of news analytics on the market independent of the informational content of the news.The authors show that news analytics speed up the stock price and trading volume response to articles, but reduce liquidity. Inaccurate news analytics lead to small price distortions that are corrected quickly.The market impact of news analytics is greatest for press releases, as the news analytics exhibit a particular skill in “seeing through” the positive spin of press releases.Furthermore, the authors provide evidence that high-frequency traders rely on the information from news analytics for directional trading on company specific news.