新闻内容变化解释了美股夜间涨幅远超日间的原因
Does Overnight News Explain Overnight Returns?
- 用240万篇新闻分析主题对市场回报的预测能力
- 夜间新闻主题频次与反应差异导致日间负收益、夜间正收益
- 能预判哪些股票夜间大涨或日间大跌，适合量化交易研究
过去30年，美国股市几乎全部收益来自夜间时段，而日间平均回报为负或持平。我们发现，日内和夜间新闻特征可解释这一现象的大部分原因。分析基于2.4百万篇新闻文章，采用一种新型监督式主题分析技术，根据其解释同期市场回报的能力筛选新闻主题。结果显示，新闻主题出现频率的时间变化以及不同主题对市场的响应差异，共同导致了日间与夜间回报的差异。在样本外测试中，该方法可有效预测哪些股票将在夜间表现优异、日间表现差。此外，该方法还能解释日间与夜间回报的持续性与反转模式。我们还将新闻效应与其他文献提出的夜间回报解释机制进行了对比。
原文摘要 · Abstract (English)
Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large part of this effect can be explained through features of intraday and overnight news. Our analysis uses a collection of 2.4 million news articles. We apply a novel technique for supervised topic analysis that selects news topics based on their ability to explain contemporaneous market returns. We find that time variation in the prevalence of news topics and differences in the responses to news topics both contribute to the difference in intraday and overnight returns. In out-of-sample tests, our approach forecasts which stocks will do particularly well overnight and particularly poorly intraday. Our approach also helps explain patterns of continuation and reversal in intraday and overnight returns. We contrast the effect of news with other mechanisms proposed in the literature to explain overnight returns.
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