Disagreement after News: Gradual Information Diffusion or Differences of Opinion? | Zendy

Anastassia Fedyk | Zendy

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Disagreement after News: Gradual Information Diffusion or Differences of Opinion?

Author(s) -

Anastassia Fedyk

Publication year - 2021

Publication title -

the review of asset pricing studies

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 4.356

H-Index - 19

eISSN - 2045-9939

pISSN - 2045-9920

DOI - 10.1093/rapstu/raab008

Subject(s) - key (lock) , the internet , set (abstract data type) , through the lens metering , diffusion , psychology , economics , political science , computer science , lens (geology) , world wide web , physics , computer security , programming language , thermodynamics , optics

This paper considers the puzzle of increased trading volume around information releases through the lens of canonical models of disagreement. I use a unique data set of clicks on news by key finance professionals to simultaneously measure gradual information diffusion and differences of opinion. I find that neither channel subsumes the other and that the two are complementary in generating trading volume around news events. Their relative strengths depend on the characteristics of the underlying information: gradual information diffusion matters more for straightforward news, while differences of opinion play a larger role around textually ambiguous news. (JEL G12, G14, G41, D84) Received January 12, 2020; editorial decision: November 24, 2020 by Editor: Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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