Media connection and return comovement

• Main Authors: CHEN, Zilin, GUO, Li, TU, Jun, Jun TU
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2021
• 主題: Complex economic linkages; Fundamental comovement; Journalists collective opinions; News linkages; Return comovement; Finance; Finance and Financial Management
• 在線閱讀: 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
• 機構: Singapore Management University

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...