Media connection and return comovement

Zilin Chen, Li Guo and Jun Tu

Journal of Economic Dynamics and Control, 2021, vol. 130, issue C

Abstract: Media news may cover multiple firms in one article, which establishes a media connection across firms. We propose a media connection strength (MCS) measure between two given firms, which is defined as the number of news articles co-mentioning these two firms. We show that the MCS measure can significantly explain and forecast return comovement of media-connected firm-pairs. Further analyses show that our results are robust to various alternative explanations. We argue that the MCS measure can capture comprehensive and complex correlated fundamental information among media-connected firms and hence may provide a new mechanism for return comovement beyond the existing rational- and behavioral-based explanations.

Keywords: News linkages; Fundamental comovement; Return comovement; Journalists collective opinions; Complex economic linkages (search for similar items in EconPapers)
JEL-codes: G11 G12 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001263

DOI: 10.1016/j.jedc.2021.104191

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