This paper examines the so far unexplored relationship between short selling and news. It starts with a theoretical analysis of short selling’s potentially beneficial and harmful effects, a brief history of its regulation and a review of the existing empirical literature. The study that...

Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail...

We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives...

This chapter reviews and synthesizes a rapidly growing subfield that analyzes the relation between media and financial markets. Research in this area identifies novel data sources, such as newspaper articles, Internet search queries, and posts on social networks, and employs inventive empirical...

This paper examines the so far unexplored relationship between short selling and news. It starts with a theoretical analysis of short selling's potentially beneficial and harmful effects, a brief history of its regulation and a review of the existing empirical literature. The study that follows...

I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their...

This paper tests whether stock market investors appropriately distinguish new and old information about firms. I define the staleness of a news story as its textual similarity to the previous ten stories about the same firm. I find that firms' stock returns respond less to stale news. Even so, a...