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1、Hownewsa ectthetradingbehaviorofdi erentcategoriesofinvestorsina nancialmarketFabrizioLilloa,b,c,SalvatoreMiccichea,MicheleTumminellod,e,JyrkiPiilof,RosarioN.MantegnaaaDipartimentodiFisica,UniversitadiPalermo,VialedelleScienze,I-90128,Palermo,ItalybScuola
2、NormaleSuperiorediPisa,PiazzadeiCavalieri7,56126Pisa,ItalycSantaFeInstitute,1399HydeParkRoad,SantaFe,NM87501,USAdDepartmentofSocialandDecisionSciences,CarnegieMellonUniversity,Pittsburgh,PA15213,USAeDipartimentodiScienzeStatisticheeMatematicheSilvioVianell
3、i",UniversitadiPalermo,VialedelleScienze,I-90128,Palermo,ItalyfTurkuCentreforQuantumPhysics,DepartmentofPhysicsandAstronomy,UniversityofTurku,FI-20014Turunyliopisto,FinlandAbstractWeinvestigatethetradingbehaviorofalargesetofsingleinvestorstrad-ingthehighly
4、liquidNokiastockovertheperiod2003-2008withtheaimofdeterminingtherelativeroleofendogenousandexogenousfactorsthatmaya ecttheirbehavior.Asendogenousfactorsweconsiderreturnsandvolatil-ity,whereastheexogenousfactorsweusearethetotaldailynumberofnewsandasemanticva
5、riablebasedonasentimentanalysisofnews.Linearregres-sionandpartialcorrelationanalysisofdatashowthatdi erentcategoriesofinvestorsaredi erentlycorrelatedtothesefactors.Governmentalandnonpro torganizationsareweaklysensitivetonewsandreturnsorvolatility,and,typic
6、ally,theyaremorecorrelatedwiththeformerthanwiththelatter.Householdsandcompanies,onthecontrary,areverysensitivetobothen-arXiv:1207.3300v1[q-fin.ST]13Jul2012dogenousandexogenousfactors,andvolatilityandreturnsare,onaverage,muchmorerelevantthanthenumberofnewsan
7、dsentiment,respectively.Finally, nancialinstitutionsandforeignorganizationsareintermediatebe-tweenthesetwocases,intermsofboththetotalexplanatorypowerofthesefactorsandtheirrelativeimportance.Keywords:Firm-speci cnews;Newssentiment;Trading;SingleinvestorsPrep
8、rintsubmittedtoElsevierJuly16,20121.IntroductionTheecientmarkethypothesisassumesthat nancialmarketsdiscountimmediatelyallinformationavailableaboutthelistedassets.Ingeneralthe
uxofinformationisbothendo
