TAILIEUCHUNG - Impacts of Public News on Stock Market Prices: Evidence from S&P500

Florida regulators sued two insurance agents who convinced clients to liquidate annuity investments and invest in a bogus real estate company by promising returns of up to 9%. Thomas A. Masciarelli and Steven Petrarca were convicted of aggravated white collar crime and making fraudulent investment transactions following an investigation by the Florida Department of Financial Services, Division of Insurance Fraud, and the Office of Financial Regulation. Detectives arrested Masciarelli a second time in 2005 and charged him with stealing $300,000 from three investors – a 58-year-old woman supporting a disabled adult daughter, an 82-year-old woman with no family,. | Interdisciplinary Journal of Research in Business Vol. 1 Issue. 2 February 2011 Impacts of Public News on Stock Market Prices Evidence from S P5001 Mihály Ormos Department of Finance Budapest University of Technology and Economics Magyar tudósok krt. 2. 1117 Budapest Hungary ormos@ Miklós Vázsonyi Department of Finance Budapest University of Technology and Economics Magyar tudósok krt. 2. 1117 Budapest Hungary miklos@ ABSTRACT Searching for semantical connections between nouns and adjectives within sentences proves to be useful in investigating the potential impacts of publicly available news on daily returns. We use extraction of composite expressions of adjective-noun pairs from economic and financial news based on a sentence based text processor. Analysis of 10 year period using seven news journals and daily closing stock prices results in approximately 70 precision and 50 recall indicators on S P500 stocks related to trading days when extreme positive or nagative returns were realized by the majority of stocks. Indicators of general economic news are better then firm specific headline news. News on days T 1 corresponds with returns better than news on day T or T-1. Our method outperforms the analysed bag of words alternatives. Keywords Market efficiency News wire Semantic analysis Adjective-noun expressions 1. INTRODCTION We investigate the information reflection capability of stock prices. The paper summarises a quantitative analysis of daily stock market for S P500 companies considering the potential impacts of publicly available news announcements on daily returns. We semantically analyse news on all S P500 companies in a 10 years time period to measure the potential impact of news announcements on daily stock market prices. Days with extreme returns are identified for both positive and negative events in terms of extreme positive or negative impact on the stock market. News announcements are collected from LexisNexis .

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