Media-Driven High Frequency Trading: Evidence from News Analytics

Beschwitz, Bastian von; Keim, Donald B.; Massa, Massimo

doi:10.2139/ssrn.2356547

Cited by 10 publications

(5 citation statements)

References 19 publications

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“…It is important to note that we are not investigating the causal effect of different media channels on investor behavior, as done, for example, in Engelberg and Parsons (2011), Dougal, Engelberg, Garcia, andParsons (2012), andvon Beschwitz, Keim, andMassa (2016). Instead, we acknowledge that the underlying corporate events trigger the stock market reaction rather than a particular coverage of these events by the media.…”

Section: Introductionmentioning

confidence: 98%

Why Do Short Sellers Like Qualitative News?

Beschwitz¹,

Chuprinin²,

Massa³

2017

J. Financ. Quant. Anal.

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Short sellers trade more on days with qualitative news, that is, news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news, enabling short sellers to better disguise their informed trades. Natural experiments support our findings. Qualitative news has a bigger effect on short sellers' trading after a decrease in liquidity following the stock's deletion from the Standard & Poor's 500 index and a smaller effect when investor attention is distracted by the Olympic Games.

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Section: Introductionmentioning

confidence: 98%

Why Do Short Sellers Like Qualitative News?

Beschwitz¹,

Chuprinin²,

Massa³

2017

J. Financ. Quant. Anal.

Self Cite

View full text Add to dashboard Cite

show abstract

“…It is important to note that we are not investigating the causal effect of different media channels on investor behavior, as is done, for example, in Engelberg and Parsons (2011), Dougal, Engelberg, Garcia andParsons (2012), or Beschwitz, Keim andMassa (2015). Instead, we acknowledge that the underlying corporate events elicit a stock market reaction rather than a particular coverage of these events by the media.…”

Section: Introductionmentioning

confidence: 99%

Why Do Short Sellers Like Qualitative News?

Beschwitz

Chuprinin²,

Massa

2015

internationalfinance

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Short sellers trade more on days with qualitative news-i.e. news containing fewer numbers. We show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days. We document that liquidity and noise trading increase in the presence of qualitative news thus enabling short sellers to better disguise their informed trades. Natural experiments support our findings. For example, qualitative news has a bigger effect on short sellers' trading after a decrease in liquidity following a stock's deletion from S&P 500 and a lower effect when investor attention is distracted by the Olympic Games.

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“…2 Similarly, Nanex (a financial data provider) reports more than 18, 000 mini flash-crashes from 2006 to 2010 in U.S. equity markets, that is, about 195 per month (Nanex defines a flash-crash as an up or down price movement greater than 0.8% in less than 1.5 second). 3 Mini-flash crashes are a source of concerns as they seem symptomatic of market fragility and informational inefficiency. In particular, sharp price drops in one asset might propagate to other assets leading to market-wide disruptions, as observed during the 2010 flash crash.…”

Section: Introductionmentioning

confidence: 99%

False News, Informational Efficiency, and Price Reversals

Foucault

Dugast

2014

SSRN Journal

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Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on false news, or trading after processing the signal, at the risk that prices already reflect their information. The number of speculators who choose to trade fast increases with news reliability and decreases with the cost of fast trading technologies. We derive testable implications for the effects of these variables on (i) the value of information, (ii) patterns in returns and trades, (iii) the frequency of price reversals in a stock, and (iv) informational efficiency. Cheaper fast trading technologies simultaneously raise informational efficiency and the frequency of "mini-flash crashes": large price movements that revert quickly.

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Media-Driven High Frequency Trading: Evidence from News Analytics

Cited by 10 publications

References 19 publications

Why Do Short Sellers Like Qualitative News?

Why Do Short Sellers Like Qualitative News?

Why Do Short Sellers Like Qualitative News?

False News, Informational Efficiency, and Price Reversals

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