A Descriptive Analysis of Abnormal Stock Price Movement Following Financial News Article ReleaseSpeaker: Robert P. Schumaker – New Britain, CT, United States
Topic(s): Artificial Intelligence, Machine Learning, Computer Vision, Natural language processing
What effect does a financial news article have on stock price? To answer this question we investigate stock price movements within the minutes following financial news releases, broken down by media outlet, time of release and article sentiment. Our data shown a Sharpe ratio (a measure for calculating risk-adjusted return) of 1.18 versus a random dataset of 0.06, indicating significant price movement immediately following article release. Second, we found that articles released through WSJ, Reuters – UK Focus, NYT and FT all experienced significant positive returns, whereas articles in Barrons, MarketWatch, Forbes and Bloomberg experienced significant negative returns. Third, we found that articles released at certain times had abnormally high price movements associated with them, more so than random chance. Lastly we discovered a minority of positive news articles trending upwards and suddenly reversing direction following a financial news article release. In one particular case there was a period of several days where the release of IBM articles triggered large price declines with steady prices otherwise. We believe these findings could be used by companies as a form of stock price management.
About this LectureNumber of Slides: 41
Duration: 60 minutes
Languages Available: English
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