What Moves Stock Prices? The Roles of News and Trading Round-the-Clock. December 2011 Eric K. Kelley and Paul C. Tetlock
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1 What Moves Stock Prices? The Roles of News and Trading Round-the-Clock December 211 Eric K. Kelley and Paul C. Tetlock
2 News, Trading, and Volatility All Coincide Example: HP announces low earnings and PC spinoff News Announced around 4pm Close 8/5/211 8/15/211 8/25/211 HP Share Volume (Right Axis) HP Closing Price (Left Axis) Does news or trading move stock prices?
3 Possible Reasons Why Stock Prices Move Public information ( News ) Example: HP announces unexpectedly low quarterly earnings at 4:1pm ET after the close of trading. Its stock price decreases by 1% almost immediately, despite very low or no trading volume. Informed trading ( Private Information ) Example: Knowing that there are few interested buyers, SAC Capital determines that HP will get a low price for its PC business. The firm decides to sell its entire $5M stake in HP, lowering its stock price. Noise trading ( Noise ) Example: Joe Smith, a buy-side analyst with a Harvard MBA, carelessly assumes HP s currently low margins (from selling PCs) will persist in his valuation, producing an equity value of $2B instead of $5B. Joe advises his firm to sell its HP stock, lowering HP s price.
4 Our Analysis Examine news and trading of individual US stocks Focus on the years 21 to 21 (after Regulation FD) Compare the properties of stock returns and volume during regular hours to those in extended hours 4 partitions: 7am; 9:3am (open); 4pm (close); and 6:3pm Periods: Pre-market, regular, after hours, and overnight Measure market responses to Dow Jones newswires Stock return variance and turnover (volume / outstanding) Distinguish the impacts of news and trading by looking at which coincides with price movements
5 35 HP Price and Volume by the Minute :16: Rumor of PC Spinoff and Autonomy Bid 2:55: Trading Halts 3:2: HPQ Press Release 3:12: Trading Resumes 5:: Conference Call Begins Price in USD Premarket Aug 18th: 6: AM - 9:29 AM Market Hours Aug 18th: 9:3 AM - 4:PM After Hours Aug 18th: 4:1 PM - 8: PM 6:42: Needham downgrades HPQ to Nuetral 1:18: Moody s revises HPQ rating to negative : AM 8: AM 1: AM 12: PM 2: PM 4: PM 6: PM 6: AM 8: AM 1: AM 12: PM 2: PM 4: PM 6: PM 8: PM Volume in USD Pre-Market Hours Aug 19th: 6: AM-9:29 AM Market Hours Aug 19th: 9:3 AM - 4: PM After Hours Aug 19th: 4:1-8: PM Volume Price Events
6 Does the HP Example Generalize? We use data on US stocks from 21 to 21 to scrutinize two main features of the example: 1) Do stock prices respond in the same period as news occurs? I.e., is return variance highest in this period? 2) For news stories occurring outside normal trading hours, does volume mainly respond during the subsequent regular trading period? I.e., when is turnover highest?
7 Responses to News in the Regular Period 9.1 Increase in Variance (in %) After News in the Regular Period Turnover Variance E Increase in Turnover (in bp) After News in the Regular Period Number of Periods After the News Occurs (period=)
8 Responses to News in the Pre-market Variance Turnover Increase in Turnover (in bp) After News in the Pre- Market Period Increase in Variance (in %) After News in the Pre-Market Period Number of Periods After the News Occurs (period=) -.4
9 .1 Increase in Variance (in %) After News in the Overnight Period Responses to News Overnight Turnover Variance Number of Periods After the News Occurs (period=) E Increase in Turnover (in bp) After News in the Overnight Period
10 .4 Increase in Variance (in %) After News in the After Hours Period Responses to News After Hours Variance Turnover Number of Periods After the News Occurs (period=) Increase in Turnover (in bp) After News in the After Hours Period
11 Preliminary Conclusions and Implications Most news now occurs in extended trading hours Attracts sophisticated traders who monitor the market continuously and rapidly process information The fact that informed traders do not wait until 9:3am to trade suggests that their edge lasts only hours Uninformed traders avoid extended hours markets It is relatively cheap to trade during regular hours Attracts uninformed traders seeking to minimize costs
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