Comovement and the News

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."

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Graduate College

Grantor dc:publisher

The University of Arizona.

Year dc:date.issued

2013

Author dc:creator

• Box, Travis

Advisor dc:contributor.advisor

• Kelley, Eric

Committee members dc:contributor.committeemember

• Sias, Richard
• Cederburg, Scott
• Oaxaca, Ronald L.
• Kelley, Eric

• Correlation
• Dynamic Panel Estimation
• Financial Media
• Textual Analysis
• Management
• Comovement

Statement dc:rights

• Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/10150/293408

OAI identifier oai:identifier

oai:repository.arizona.edu:10150/293408