By quantifying the tone of firm-specific articles in leading national newspapers between
1989 and 2010, we propose a bottom-up measure of aggregate journalist disagreement. In …

We conduct a comprehensive study on momentum spillovers in the Chinese stock market
using various types of economic linkages, with particular attention to momentum spillover via …

In this paper, we infer how the estimates of firm value by “optimists” and “pessimists” evolve
in response to information shocks. Specifically, we examine returns and disagreement …

We show that the news is a rich source of data on distressed firm links that drive firm-level
and aggregate risks. The news tends to report about links in which a less popular firm is …

This paper demonstrates that value-relevant information about a firm appearing in regulatory
disclosures of other firms is overlooked by investors. Firms highly mentioned in the 10-K …

In our modern society, almost all events, processes, and decisions in a corporation are
documented by internal written communication, legal filings, or business and financial news …

I introduce a method for gauging the qualitative similarity of firm-specific information based
on linguistic commonality in newswire text. I show that this new qualitative similarity measure …

We propose a dynamic heterogeneous agents model which generates testable hypotheses
about the formation, timing and bursting of asset price bubbles in the presence of short-sale …

We analyze over 2.6 million news articles and propose a novel measure of aggregate joint
news coverage of firms. The measure strongly and negatively predicts market returns, both …

Using merger announcements and applying methods from computational linguistics we find
strong evidence that stock prices underreact to information in financial media. A one …