Comovement and the News
type: CreativeWork
description: I introduce a novel approach for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of news reports to their equity return correlation. I find that this measure of news similarity is just as important for predicting future cross-firm comovement as contemporaneous return correlation. This predictability remains after controlling for industry correlation, size, book-to-market, momentum, and price-decile correlation, index membership, and headquarters location, as well as institutional holding and analyst coverage. These results contribute to the growing literature examining the role of the media in financial markets, and provide empirical support for an alternative description of return comovement that does not depend on friction-based explanations such as "category," "habitat," or "information diffusion."
abstract: I introduce a novel approach for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of news reports to their equity return correlation. I find that this measure of news similarity is just as important for predicting future cross-firm comovement as contemporaneous return correlation. This predictability remains after controlling for industry correlation, size, book-to-market, momentum, and price-decile correlation, index membership, and headquarters location, as well as institutional holding and analyst coverage. These results contribute to the growing literature examining the role of the media in financial markets, and provide empirical support for an alternative description of return comovement that does not depend on friction-based explanations such as "category," "habitat," or "information diffusion."
author: Box, Travis
language: en
keywords: Correlation, Dynamic Panel Estimation, Financial Media, Textual Analysis, Management, Comovement
date published: 2013
date modified: 2026-07-24T00:55:23Z
provider: University of Arizona
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: The University of Arizona.

PropertyValue
property ID: Handle
value: http://hdl.handle.net/10150/293408