Publication Type
Journal Article
Version
acceptedVersion
Publication Date
9-2021
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
Complex economic linkages, Fundamental comovement, Journalists collective opinions, News linkages, Return comovement
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Journal of Economic Dynamics and Control
Volume
130
First Page
1
Last Page
18
ISSN
0165-1889
Identifier
10.1016/j.jedc.2021.104191
Publisher
Elsevier: 24 months
Citation
CHEN, Zilin; GUO, Li; TU, Jun; and Jun TU.
Media connection and return comovement. (2021). Journal of Economic Dynamics and Control. 130, 1-18.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6865
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.