Over the past years, media coverage of firms has received significant scholarly attention.
However, the resulting literature is spread across multiple disciplines and, therefore, varies …

Because theories in finance rely critically on what agents know, designing powerful tests of
these theories requires measuring information transmission. In this review, I characterize the …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX
and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find …

In this study, we examine whether firms that act more socially responsible receive more
favorable media coverage, and we consider whether firms use CSR to actively manage their …

ABSTRACT I investigate whether corporate accountability reporting helps protect firm value.
Specifically, I examine (1) whether corporate accountability reporting helps firms prevent the …

This paper studies the effect of sentiment on asset prices during the 20th century (1905 to
2005). As a proxy for sentiment, we use the fraction of positive and negative words in two …

We investigate lead‐lag relationships among monthly country stock returns and identify a
leading role for the United States: lagged US returns significantly predict returns in …

The authors investigate the impact of social media on S&P index constituents for US,
European, and emerging markets with the international investor perspective using firm …

Liquidity plays an important role in global research. We identify high-quality liquidity proxies
based on low-frequency (daily) data, which provide 1,000× to 10,000× computational …

We investigate whether increased investor demand for financial information arising from
higher market uncertainty leads to greater media coverage of earnings announcements. We …