Journalist Disagreement

49 Pages Posted: 24 Sep 2018

See all articles by Alexander Hillert

Alexander Hillert

Goethe University Frankfurt - Department of Finance

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Sebastian Müller

Technische Universität München (TUM) - TUM School of Management

Date Written: September 5, 2018

Abstract

By quantifying the tone of firm-specific articles in leading national newspapers between 1989 and 2010, we propose a bottom-up measure of aggregate journalist disagreement. In line with theoretical considerations, our novel high-frequency proxy for differences of opinion negatively forecasts the market return, in particular during recessions. Moreover, it has predictive power for the cross-section of stock returns. Collectively, our insights support asset pricing theories incorporating belief dispersion and highlight the role of the media in this context.

Keywords: Media, Journalists, Textual Analysis, Differences of Opinion, Return Predictability

JEL Classification: G12, G14

Suggested Citation

Hillert, Alexander and Jacobs, Heiko and Müller, Sebastian, Journalist Disagreement (September 5, 2018). Journal of Financial Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3244636

Alexander Hillert

Goethe University Frankfurt - Department of Finance ( email )

House of Finance
Grueneburgplatz 1
Frankfurt am Main, Hessen 60323
Germany

Heiko Jacobs (Contact Author)

University of Duisburg-Essen, Campus Essen ( email )

Universitätsstr. 9
Essen, 45141
Germany
+49-(0)621-181-3453 (Phone)
+49-(0)621-181-1534 (Fax)

HOME PAGE: http://sites.google.com/site/heikojacobsfinance/

Sebastian Müller

Technische Universität München (TUM) - TUM School of Management ( email )

Germany

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