The Relative Impact of Different News on Stock Returns: Evidence From New Zealand
Abstract
ABSTRACT We estimate the effects of different news events on New Zealand stock returns. Our results indicate that local news, such as announcements from the New Zealand Central Bank interest rate changes (official cash rate) and company earnings reports, generally has a greater impact than international news. However, U.S. Federal Open Market Committee interest rate announcements also exert an important impact. There are no consistent differences in the impact of news on stocks with different cross‐sectional characteristics, such as small and large, value and growth, and low‐ and high‐leverage stocks.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Market Dynamics and Volatility
Financial Risk and Volatility Modeling
Publication details
- Journal / source
- Accounting and Finance
- Volume
- 66
- Issue
- 3
- Pages
- 2522–2536
- Publication date
- 19 January 2026
- Language
- EN