This paper estimates the effect of news positioning on the speed of price discovery, using exogenous variation in prominent (“front-page”) positioning of news articles on the Bloomberg terminal. Front-page articles see 240% higher trading volume and 176% larger absolute excess returns during the first 10 minutes after publication than equally important non-front-page articles. Overall, the information in front-page articles is fully incorporated into prices within an hour of publication. The response to non-front-page information of similar importance eventually converges but takes more than two days to be fully reflected in prices.

中文翻译：

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头版新闻：新闻定位对金融市场的影响

本文利用彭博终端上新闻文章突出（“头版”）定位的外生变化，估计了新闻定位对价格发现速度的影响。与同等重要的非头版文章相比，头版文章在发表后的前 10 分钟内交易量高出 240%，绝对超额收益高出 176%。总体而言，头版文章中的信息在发表后一小时内就完全纳入价格中。对类似重要性的非头版信息的反应最终会趋同，但需要两天多的时间才能完全反映在价格中。