Joint news, attention spillover, and market returns predictability
We analyze over 2.6 million news articles and propose a novel measure of joint news coverage of firms. The measure strongly and negatively predicts market returns, with a monthly R-squared of 3.93% in sample and 6.52% out of sample. The relation is causal, robust to existing predictors, and is espec...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6888 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7887/viewcontent/SSRN_id2927561.pdf |
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| Institution: | Singapore Management University |
| Language: | English |