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
Citation
GUO, Li; PENG, Lin; TAO, Yubo; and Jun TU.
Joint news, attention spillover, and market returns predictability. (2021). 1-63.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6888
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.2927561
Included in
Business and Corporate Communications Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons