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Information Management in Financial Markets: Implications for Stock Momentum and Volatility

58 Pages Posted: 3 Apr 2011 Last revised: 28 Aug 2016

Oleg Chuprinin

University of New South Wales (UNSW); Financial Research Network (FIRN)

Date Written: October 2011

Abstract

Using a dataset of over half a million corporate press-releases, I study patterns of private information disclosures by the top U.S. public companies. I find that the amount of positive information released by a company is positively related to both its future stock performance and future positive releases, suggesting that companies tend to ration the delivery of positive news and create sustainable price trends. This effect is stronger for firms with lower information transparency. The segmentation of positive information contributes significantly to the Jegadeesh and Titman momentum effect among winner stocks. At the same time, private information disclosures are negatively related to the arrival of public information, supporting the hypothesis that private information releases are timed to mitigate public information shocks. Accordingly, I find that stock volatility is significantly lower for firms that use reserves of positive private information as insurance against unanticipated negative events.

Keywords: press releases, information disclosures, return predictability

JEL Classification: G12, G14

Suggested Citation

Chuprinin, Oleg, Information Management in Financial Markets: Implications for Stock Momentum and Volatility (October 2011). Available at SSRN: https://ssrn.com/abstract=1801235 or http://dx.doi.org/10.2139/ssrn.1801235

Oleg Chuprinin (Contact Author)

University of New South Wales (UNSW) ( email )

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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