4 papers
Does Overnight News Explain Overnight Returns?
Paul Glasserman, Kriste Krstovski, Paul Laliberte +1
Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large pa…
New News is Bad News
Paul Glasserman, Harry Mamaysky, Jimmy Qin
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribu…
Credit Information in Earnings Calls
Harry Mamaysky, Yiwen Shen, Hongyu Wu
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables an…
Choosing News Topics to Explain Stock Market Returns
Paul Glasserman, Kriste Krstovski, Paul Laliberte +1
We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (…