Abstract

http://ssrn.com/abstract=2139708
 


 



Stock Price Comovement and the Market for Information


Travis Box


University of Mississippi - Department of Finance

January 27, 2014


Abstract:     
I introduce an approach for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of newswire content to their equity return correlation. I find that this measure of information environment similarity can predict an economically meaningful portion of future cross-firm price comovement even after accounting for the pair’s contemporaneous return correlation. I also demonstrate how the effectiveness of information environment similarity as predictor of comovement responds to aggregate market states, and offer empirical support for an existing theory of information driven comovement.

Number of Pages in PDF File: 68

Keywords: Comovement, Dynamic Panel Estimation, Textual Analysis, Correlation

JEL Classification: C33, C53, D83, G00, G11, G12, G14

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Date posted: September 4, 2012 ; Last revised: March 19, 2014

Suggested Citation

Box, Travis, Stock Price Comovement and the Market for Information (January 27, 2014). Available at SSRN: http://ssrn.com/abstract=2139708 or http://dx.doi.org/10.2139/ssrn.2139708

Contact Information

Travis Box (Contact Author)
University of Mississippi - Department of Finance ( email )
Oxford, MS 38677
United States
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