196 News and abnormal returns
Table 7.4(cont.)
9 15.13 7.27 9.27 0.98 14.50 4.54
(0.53) (0.83) (0.59) (0.85) (0.64) (0.84)
10a 16.94 7.73 12.97 3.80 19.76 11.13
(0.64) (0.99) (0.76) (1.05) (0.99) (1.22)
10b (highest volume) 20.77 32.13 24.41 15.04 28.26 21.65
(0.54) (0.83) (0.86) (1.12) (1.33) (1.53)
Panel B: Buy-sell imbalances for stocks sorted first on the previous day’s return and then on
market capitalizationSmall stocks Mid-cap stocks Large stocksDecile Number Value Number Value Number Value
imbalance imbalance imbalance imbalance imbalance imbalance
1a (negative return) 24.88 26.06 32.71 30.83 38.73 34.55
(0.66) (0.99) (1.25) (1.48) (1.92) (2.15)
1b 14.37 12.61 17.61 14.99 25.26 21.93
(0.65) (0.99) (0.96) (1.27) (1.38) (1.62)
2 10.69 6.30 9.67 4.99 18.53 13.50
(0.54) (0.82) (0.06) (0.89) (0.67) (0.92)
3 6.97 2.05 5.06 0.95 11.09 5.35
(0.65) (0.96) (0.59) (0.86) (0.59) (0.82)
4 4.48 3.23 0.87 5.29 4.23 3.06
(0.53) (0.78) (0.62) (0.90) (0.60) (0.81)
5 3.72 3.64 3.59 4.45 4.02 3.58
(0.42) (0.63) (0.46) (0.69) (0.47) (0.67)
6 4.20 3.64 4.46 3.07 2.86 4.96
(0.42) (0.62) (0.49) (0.73) (0.54) (0.75)
7 5.28 2.63 2.87 4.84 0.80 8.23
(0.54) (0.79) (0.60) (0.90) (0.59) (0.81)
8 8.88 2.78 2.07 7.78 0.83 10.96
(0.61) (0.93) (0.56) (0.85) (0.58) (0.80)
9 11.98 5.49 6.73 5.41 3.31 6.69
(0.54) (0.83) (0.61) (0.90) (0.67) (0.90)
10a 16.88 10.59 12.09 2.53 5.53 1.81
(0.63) (0.96) (0.82) (1.14) (1.25) (1.48)
10b (positive return) 26.98 18.69 20.85 8.19 7.76 2.94
(0.57) (0.88) (1.06) (1.33) (1.84) (2.06)
Panel C: Buy–sell imbalances for stocks sorted first on market capitalization and then on current
day’s newsSmall stocks Mid-cap stocks Large stocksDecile Number Value Number Value Number Value
imbalance imbalance imbalance imbalance imbalance imbalance
News 19.87 14.59 13.38 3.87 6.52 1.35
All days (1.47) (1.85) (1.15) (1.62) (0.85) (0.97)
No news 7.53 2.82 3.12 4.83 2.91 9.86
All days (0.48) (0.70) (0.57) (0.88) (0.67) (0.94)