| 来源类型 | Working Paper |
| 规范类型 | 论文 |
| Economic linkages inferred from news stories and the predictability of stock returns | |
| Anna Scherbina; Bernd Schlusche | |
| 发表日期 | 2016-02-04 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Abstract: We show that news stories contain information about economic linkages between firms and document that information diffuses slowly across linked stocks. Specifically, we identify linked stocks from co-mentions in news stories and find that linked stocks cross-predict one another’s returns in the future. Our results indicate that information can flow from smaller to larger stocks and across industries. Content analysis of common news stories reveals many types of firm linkages that have not been previously studied. We find that the cross-predictability in returns remains even after firm pairs with customer-supplier ties are removed. Results show that both limited attention and slow processing of complex information contribute to slow information diffusion. Economic linkages inferred from news stories and the predictability of stock returns |
| 主题 | Economics |
| 标签 | Stock market |
| URL | https://www.aei.org/research-products/working-paper/economic-linkages-inferred-news-stories-predictability-stock-returns/ |
| 来源智库 | American Enterprise Institute (United States) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/207340 |
| 推荐引用方式 GB/T 7714 | Anna Scherbina,Bernd Schlusche. Economic linkages inferred from news stories and the predictability of stock returns. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Linked_stocks.pdf（440KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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