News Driven Risk

This project centers on the effect of firm-level news on equity volatility. While there has been a strong emphasis on macroeconomic announcements, we all know that the news about the failure of a single bank marked the beginning of the sub-prime crisis. Thus, I study the effect of news on a firm-specific basis. The first part of the project focuses on decomposing firm news’ overall impact into the beta, market, and idiosyncratic volatility channels. Preliminary results suggest that there exist fifty eights news categories related to price jumps. I examine how market processes firm-specific news during different states of the economy and determine the types of firms and news that move the market. TO BE CONT’D

Faculty Supervisor:

Tolga Cenesizoglu

Student:

Partner:

Université de Liège

Discipline:

Business

Sector:

Education

University:

HEC Montréal

Program: