Media News and Cross Industry Information Diffusion
نویسنده
چکیده
Media news serves as information intermediary that contributes to the cross industry return predictability. First, cross industry news contains valuable information about firm fundamentals that is not priced by the market. Second, consistent with high information costs hypothesis, cross industry news has long term effects on future returns with an annulized risk adjusted return 10.85% after 10 weeks of the signal. Third, cross industry news is more valuable to small stocks, illiquid stocks, and stocks with high return volatility or low analyst coverage. Fourth, analyst forecasts, institutional fund flows and media news might be the channels that interpret cross industry news to the market. Overall, this paper provides direct evidence to support the argument that news travels slowly across different industries.
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