49 Pages Posted: 24 Sep 2018
Date Written: September 5, 2018
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: Suggested Citation