200 News and abnormal returns
Table 7.5(cont.)
10a 33.03 39.31 12.27 19.97 26.81 27.99
(0.63) (0.85) (0.97) (1.12) (1.06) (1.42)
10b (highest volume) 24.97 32.82 15.01 20.04 17.32 19.38
(0.69) (0.92) (1.04) (1.19) (0.98) (1.42)
Panel B: Buy–sell imbalances for stocks already owned sorted on the previous day’s returnLarge discount Large retail Small discount
brokerage brokerage brokerageDecile Number Value Number Value Number Value
imbalance imbalance imbalance imbalance imbalance imbalance
1a (negative return) 9.68 11.96 4.05 0.33 16.89 ) 19.68
(0.83) (1.17) (0.99) (1.26) (1.54 (1.85)
1b 23.90 26.00 8.20 10.83 18.90 21.86
(0.76) (1.02) (0.99) (1.20) (1.49) (1.84)
2 32.00 33.15 12.73 14.99 22.71 24.77
(0.56) (0.76) (0.89) (1.00) (1.09) (1.45)
3 38.94 40.22 18.24 21.85 27.10 26.23
(0.57) (0.76) (0.94) (0.99) (1.16) (1.53)
4 42.53 44.79 20.36 25.16 26.03 26.47
(0.56) (0.78) (0.91) (1.01) (1.24) (1.58)
5 40.51 44.29 20.67 24.83 27.67 27.77
(0.55) (0.76) (0.93) (1.10) (1.46) (1.75)
6 41.18 45.31 21.35 26.59 28.54 27.29
(0.55) (0.77) (0.90) (1.10) (1.42) (1.73)
7 45.36 49.57 22.82 28.66 29.28 28.44
(0.57) (0.78) (0.89) (1.06) (1.24) (1.55)
8 48.12 52.42 25.45 32.00 31.14 28.16
(0.50) (0.70) (0.87) (1.02) (1.24) (1.61)
9 45.85 50.13 27.13 34.00 32.70 28.40
(0.49) (0.68) (0.79) (0.95) (1.09) (1.45)
10a 40.86 46.06 31.17 38.16 36.03 34.85
(0.64) (0.89) (0.85) (1.03) (1.27) (1.67)
10b (positive return) 33.95 43.77 29.73 34.87 35.02 38.31
(0.68) (0.94) (0.81) (1.05) (1.20) (1.49)
Panel C: Buy–sell imbalances for stocks already owned sorted on current day’s newsLarge discount Large retail Small discount
brokerage brokerage brokerageDecile Number Value Number Value Number Value
imbalance imbalance imbalance imbalance imbalance imbalance
News 40.91 42.36 15.38 23.95 22.14 22.02
All days (0.79) (0.94) (0.94) (0.98) (0.91) (1.52)
No news 45.05 45.98 21.42 25.46 32.77 33.68
All days (0.52) (0.77) (0.92) (1.02) (1.00) (1.52)