Publication Type

Working Paper

Version

publishedVersion

Publication Date

11-2021

Abstract

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 especially strong when market uncertainty is high or when market frictions are large. At the firm level, joint news coverage is associated with a 20.3% increase in EDGAR downloads by new IPs from the investor bases of the other covered firms. Our evidence suggests that joint news triggers investor attention spillover across firms, which aggregates and causes marketwide overvaluations and subsequent reversals.

Keywords

Attention spillover, News, Investor base, EDGAR search, Return predictability, Self news

Discipline

Business and Corporate Communications | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

First Page

1

Last Page

63

Identifier

10.2139/ssrn.2927561

Publisher

SSRN

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.2139/ssrn.2927561

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