The Effect of Information on Financial Markets: A Survey
18 Pages Posted: 18 May 2016 Last revised: 29 May 2016
Date Written: May 28, 2016
Researchers in finance have since long ago been attempting to quantify information, and assess its impact on financial markets. Recent advances in computational linguistics, natural language processing, machine learning and econometrics, along with improved data access to media articles, online discussions and social networks, have enabled researchers to apply such techniques in multiple fields of financial research. The applications include (but are not limited to): the effect of media columns and online discussions on stock prices, the relationship between media coverage and institutional trading, the effect of media during mergers and acquisitions (M&As), and initial public offerings (IPOs). The paper surveys a key part of the literature, and discusses possibilities for further research.
Keywords: Information, Financial Markets, Textual Analysis, News, Media
JEL Classification: G10, G14
Suggested Citation: Suggested Citation