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01652nam a2200265Ia 4500 |
| 001 |
10.1287-mnsc.2017.2726 |
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220706s2018 CNT 000 0 und d |
| 020 |
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|a 00251909 (ISSN)
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| 245 |
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|a Unusual news flow and the cross section of stock returns
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| 260 |
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|b INFORMS Inst.for Operations Res.and the Management Sciences
|c 2018
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1287/mnsc.2017.2726
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|a We document that stocks that experience sudden increases in idiosyncratic volatility underperform otherwise similar stocks in the future, and we propose that this phenomenon can be explained by the Miller conjecture [Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151-1168]. We show that volatility shocks can be traced to unusual firm-level news flow, which temporarily increases the level of investor disagreement about the firm value. At the same time, volatility shocks pose a barrier to short selling, preventing pessimistic investors from expressing their views. In the presence of divergent opinions and short-selling constraints, prices initially reflect optimistic views but adjust downward in the future as investors' opinions converge. © 2017 INFORMS.
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|a Cross section of stock returns
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|a Financial markets
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|a Firm value
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|a Investments
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|a Market efficiency
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| 650 |
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|a Short-sale constraints
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|a Unusual news flow
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|a Volatility shocks
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|a Bali, T.G.
|e author
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|a Bodnaruk, A.
|e author
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|a Scherbina, A.
|e author
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|a Tang, Y.
|e author
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| 773 |
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|t Management Science
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