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News Consumption: From Information to Returns

35 Pages Posted: 7 Aug 2016  

Anastassia Fedyk

Harvard University, Harvard Business School

Date Written: February 26, 2016

Abstract

This paper takes a novel approach to investigating the link between financial information and asset returns by analyzing a direct measure of finance professionals' attention to news. Using a comprehensive dataset of clicks on news by hundreds of thousands of finance professionals, I document differential patterns of news consumption by readers in different industries. The findings indicate that hedge funds and private investors are faster, more active, and more sophisticated in their news consumption than their counterparts in investment management and other industries. News consumption of hedge fund employees and private investors also has the largest impact on security returns and trading volumes.

Keywords: news, information processing, hedge funds, capital markets

JEL Classification: G23, G14, G02

Suggested Citation

Fedyk, Anastassia, News Consumption: From Information to Returns (February 26, 2016). Available at SSRN: https://ssrn.com/abstract=2817095

Anastassia Fedyk (Contact Author)

Harvard University, Harvard Business School ( email )

Cambridge, MA
United States

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