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Cited by 677Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceFinancial Risk and Volatility Modeling

All the News That's Fit to Reprint: Do Investors React to Stale Information?

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Tetlock, Paul C.·2011·Review of Financial Studies
DOI 10.1093/rfs/hhq141
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Abstract

This paper tests whether stock market investors appropriately distinguish new and old information about firms. The staleness of a news story is its textual similarity to the previous ten stories about the same firm. The tests show that firms' stock returns are less responsive to stale news. Even so, a firm's return on the day of stale news negatively predicts its return in the following week. Individual investors increase their tendencies to aggressively trade on news when news is stale. The return reversal after stale news is significantly larger in stocks with above-average individual investor trading activity on the day of the news. These results and others support the idea that individual investors overreact to stale information, leading to temporary movements in firms' stock prices. The findings are inconsistent with alternative interpretations of the empirical measure of staleness and the return reversal.

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  • NR_G's return predictability is more substantial when the news is less similar to prior stories.

    “Our findings are consistent with the notion that 𝑁𝑅 𝐺 's return predictability is more substantial when the news is less similar to prior stories, thus supporting our hypothesis.”

    From ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy? (2025) · cites this paper as Tetlock (2011)

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Authors
Tetlock, P. C.
Corresponding author
Tetlock, Paul C.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2011-01-24
Volume
24
Issue
5
Pages
1481-1512
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhq141
OpenAlex
W3125011952
Cited by
677
References
6
Citations by year
2026: 30 · 2025: 47 · 2024: 72 · 2023: 55 · 2022: 48 · 2021: 86 · 2020: 42 · 2019: 44 · 2018: 39 · 2017: 35 · 2016: 36 · 2015: 34 · 2014: 32 · 2013: 28 · 2012: 17
FWCI
55.64
Type
journal article
Language
en
Open access
Locations
  • Review of Financial Studies (publishedVersion)
  • SSRN Electronic Journal (acceptedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
investor overreaction, stock returns, return reversal

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