Which News Moves Stock Prices? A Textual Analysis

A National Bureau of Economic working paper, using advancements in textual analysis, attempts to identify whether news moves stock prices. The paper is a response to the 1988 paper by Richard Roll that showed little relation between stock prices and news. The authors find that once news is correctly identified using advancements in textual analysis, there is considerably more evidence of a strong relationship between stock price changes and information.

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