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Academic Study Uses News Quantified Data to Show Extended Hours Prices Are Predictive of Subsequent Stock Returns

SCOTTSDALE, Ariz.–(BUSINESS WIRE)–

A new academic study by professors from four esteemed universities applied News Quantified’s unique data to conclude that, when crucial financial news is released during extended stock market hours, returns are positively and appreciably associated with subsequent main trading session returns.

News Quantified’s data also helped researchers determine that after-hours news releases – including earnings, SEC filings such as 8-Ks and analyst stock recommendation changes – can help predict market performance not just in the following main trading session (9:30 a.m. ET to 4:00 p.m. ET) but throughout the subsequent quarter.

In contrast, the researchers found that, when extended-hours trading does not include the release of important news, the returns are weakly and negatively associated with the following main trading session returns.

Crucial corporate news is often released outside of the regular trading session. Extended evening hours are from 4:00 p.m. to 8:00 p.m. ET, and pre-market trading hours are from 4:00 a.m. to 9:30 a.m. ET.

News Quantified supplied the researchers with returns data for all three sessions for every firm in its database from 2006 to 2015. News Quantified also tapped its data to provide trading volume reports for each session, along with average trading volume in each session during the 30 days prior to the day of the important news release.

The researchers used the ratio of trading volume during each session to its prior 30-day average volume to measure nonstandard volume based on the release of important corporate news.

The research was conducted by Dr. Shari Levi, assistant accounting professor at the Tel Aviv University School of Management; Dr. Joshua Livnat, professor emeritus of accounting at New York University’s Stern School of Business and managing director at Quantitative Management Associates; Dr. Li Zhang, assistant accounting professor at Rutgers Business School; and Dr. Xiao-Jun Zhang, professor of accounting at the Haas School of Business, UC Berkeley.

Dr. Livnat notes, “The data supplied to us by News Quantified reduced data collection efforts immensely, and enabled us to perform rigorous tests of how extended market trading incorporates new information into prices, and how these market reactions can predict future returns.

“News Quantified has built a nice system to track the effects of market-moving information to actual extended-hours trades that occurred after the information is released. This matching of the precise time of the news with actual subsequent trades is extremely beneficial for researchers and practitioners who wish to examine the effects of particular news on market trading.”

About News Quantified

News Quantified (www.nq2016.staging.wpengine.com) is a platform that seamlessly integrates breaking news events with the corresponding market data, delivering instant access to vital information — all in one place. Catering to a user base including financial professionals, corporate officers, market portals and business publishers, News Quantified analyzes major U.S. news feeds and regulatory filings in real time, covering all U.S.-listed stocks. With over 100 metrics assessed, the solution offers unmatched access to the most detailed news analytics in the industry through custom reports, dashboards, a historical database and direct API integration. The platform provides users with a deep analysis of how and why a stock is moving at any given time, and helps them forecast equities’ reaction to anticipated events. In doing this, News Quantified eliminates the past separation between news and market data.

View source version on businesswire.com: http://www.businesswire.com/news/home/20161011005467/en/

This article was also published on: Yahoo Finance

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