Joint News, Attention Spillover,and Market Returns

Li Guo, Lin Peng, Yubo Tao and Jun Tu

Papers from arXiv.org

Abstract: We analyze over 2.6 million news articles and propose a novel measure of aggregate joint news coverage of firms. The measure strongly and negatively predicts market returns, both in sample and out of sample. The relation is causal, robust to existing predictors, and is especially strong when market uncertainty is high or when market frictions are large. Using data on EDGAR downloads by unique IPs, we provide direct evidence that joint news triggers attention spillover across firms. Our results are consistent with the explanation that joint news generates a contagion in investor attention and causes marketwide overvaluations and subsequent reversals.

Date: 2017-03, Revised 2022-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://arxiv.org/pdf/1703.02715 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.02715

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().