Tian Han

University of Reading - Henley Business School

Greenlands

Reading, Henley on Thames RG6 6AH

United Kingdom

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News-Based Links and Cross-firm Return Predictability

Number of pages: 41 Posted: 14 Sep 2020 Last Revised: 31 Dec 2020
Ran Tao, Andrew Yim and Tian Han
University of Reading - ICMA Centre, Cass Business School, City, University of London and University of Reading - Henley Business School
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Abstract:

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news co-coverage; lead-lag return momentum; investor attention; anomalies