Media connection and return comovement

Media connection and return comovement

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 signifi...

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Bibliographic Details
Main Authors: CHEN, Zilin, GUO, Li, TU, Jun, Jun TU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Complex economic linkages
Fundamental comovement
Journalists collective opinions
News linkages
Return comovement
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6865
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7864/viewcontent/1_s20_S0165188921001263_main.pdf
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Institution: Singapore Management University
Language: English
Description
Summary: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.

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