منابع مشابه
The Comovement of Investor Attention
Prior literature has documented that investor attention is associated with the pricing of stocks. We examine attention comovement, the extent to which investor attention for a firm is affected by attention paid to the industry and market in general. We find that attention comovement is positively related to comovement in firm fundamentals, and is also related to firm characteristics, such as si...
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Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure...
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There is growing evidence to suggest that the impact of positive and negative news are asymmetricthat the impact of bad news has a much greater effect on investors’ sentiment than positive news does; investors react more harshly when bad news is disseminated. Using daily data from 30 companies listed on the DJIA index over the period April 3, 2012 to April 5, 2013, we analyse 289,443 online twe...
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This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock’s idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised vol...
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So-called “robot” journalism represents a shift towards the automation of journalistic tasks related to news reporting, writing, curation, and even data analysis. In this paper, we consider the extension of robot journalism to the domain of social platforms and study the use of “news bots”—automated accounts that participate in news and information dissemination on social networks. Such bots pr...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2416318