The Wiley Finance Series : Handbook of News Analytics in Finance

192 News and abnormal returns

Table 7.3

(cont.

)

Large discount

Large retail

Small discount

Momentum

Value

Diversified

brokerage

brokerage

brokerage

managers

managers

managers

Partition

Number

Value

Number

Value

Number

Value

Number

Value

Number

Value

Number

Value

imbalance

imbalance

imbalance

imbalance imbalance

imbalance imbalance imbalance imbalance imbalance imbalance imbalance

Panel C: Negative return days

News

17.39

10.91

15.59

3.17

13.77

9.32

3.94



7.39

4.29



2.41

4.72

2.24

(0.83)

(1.12)

(1.58)

(1.43)

(0.71)

(1.08)

(1.43)

(2.11)

(2.09)

(2.77)

(1.30)

(2.25)

No news 8.86

3.85



3.38



13.57

4.35

1.29

0.68



8.60

6.92

1.60

5.58



4.11

(0.53)

(0.81)

(0.88)

(0.85)

(0.77)

(1.42)

(1.25)

(1.46)

(1.52)

(1.89)

(1.03)

(1.23)

Panel C: Zero Return Days

News

1.41



5.90



0.44



8.74

1.58



1.22

14.12

15.16

11.37

9.59

5.21

1.62

(1.76)

(2.31)

(0.94)

(1.45)

(2.25)

(2.68)

(2.35)

(3.19)

(3.44)

(4.35)

(2.47)

(3.68)

No news



0.95



6.40



14.49



18.24



3.27



7.95

14.60

12.86

10.65

2.42

8.36



0.17

(0.68)

(1.13)

(1.06)

(1.08)

(1.35)

(2.04)

(1.38)

(1.81)

(1.73)

(2.49)

(1.27)

(1.84)