Journalist disagreement

Alexander Hillert; Heiko Jacobs; Sebastian Müller

doi:10.1016/j.finmar.2018.09.002

Journalist disagreement

Alexander Hillert
, Heiko Jacobs
, Sebastian Müller

Research output: Contribution to journal › Article › peer-review

28 Scopus citations

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.

Original language	English
Pages (from-to)	57-76
Number of pages	20
Journal	Journal of Financial Markets
Volume	41
DOIs	https://doi.org/10.1016/j.finmar.2018.09.002
State	Published - Nov 2018
Externally published	Yes

Keywords

Differences of opinion
Journalists
Media
Return predictability
Textual analysis

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10.1016/j.finmar.2018.09.002

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title = "Journalist disagreement",

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 = "Differences of opinion, Journalists, Media, Return predictability, Textual analysis",

author = "Alexander Hillert and Heiko Jacobs and Sebastian M{\"u}ller",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2018",

month = nov,

doi = "10.1016/j.finmar.2018.09.002",

language = "English",

volume = "41",

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journal = "Journal of Financial Markets",

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AU - Hillert, Alexander

AU - Jacobs, Heiko

AU - Müller, Sebastian

PY - 2018/11

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N2 - 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.

AB - 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.

KW - Differences of opinion

KW - Journalists

KW - Media

KW - Return predictability

KW - Textual analysis

UR - https://www.scopus.com/pages/publications/85053193426

U2 - 10.1016/j.finmar.2018.09.002

DO - 10.1016/j.finmar.2018.09.002

M3 - Article

AN - SCOPUS:85053193426

SN - 1386-4181

VL - 41

SP - 57

EP - 76

JO - Journal of Financial Markets

JF - Journal of Financial Markets

ER -

Journalist disagreement

Abstract

Keywords

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