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dc.contributor.advisorKelley, Ericen_US
dc.contributor.authorBox, Travis
dc.creatorBox, Travisen_US
dc.date.accessioned2013-06-04T16:49:34Z
dc.date.available2013-06-04T16:49:34Z
dc.date.issued2013
dc.identifier.urihttp://hdl.handle.net/10150/293408
dc.description.abstractI introduce a novel approach for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of news reports to their equity return correlation. I find that this measure of news similarity is just as important for predicting future cross-firm comovement as contemporaneous return correlation. This predictability remains after controlling for industry correlation, size, book-to-market, momentum, and price-decile correlation, index membership, and headquarters location, as well as institutional holding and analyst coverage. These results contribute to the growing literature examining the role of the media in financial markets, and provide empirical support for an alternative description of return comovement that does not depend on friction-based explanations such as "category," "habitat," or "information diffusion."
dc.language.isoenen_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.subjectCorrelationen_US
dc.subjectDynamic Panel Estimationen_US
dc.subjectFinancial Mediaen_US
dc.subjectTextual Analysisen_US
dc.subjectManagementen_US
dc.subjectComovementen_US
dc.titleComovement and the Newsen_US
dc.typetexten_US
dc.typeElectronic Dissertationen_US
thesis.degree.grantorUniversity of Arizonaen_US
thesis.degree.leveldoctoralen_US
dc.contributor.committeememberSias, Richarden_US
dc.contributor.committeememberCederburg, Scotten_US
dc.contributor.committeememberOaxaca, Ronald L.en_US
dc.contributor.committeememberKelley, Ericen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineManagementen_US
thesis.degree.namePh.D.en_US
refterms.dateFOA2018-04-26T01:50:53Z
html.description.abstractI introduce a novel approach for the empirical analysis of asset price comovement that relates the inter-firm textual similarity of news reports to their equity return correlation. I find that this measure of news similarity is just as important for predicting future cross-firm comovement as contemporaneous return correlation. This predictability remains after controlling for industry correlation, size, book-to-market, momentum, and price-decile correlation, index membership, and headquarters location, as well as institutional holding and analyst coverage. These results contribute to the growing literature examining the role of the media in financial markets, and provide empirical support for an alternative description of return comovement that does not depend on friction-based explanations such as "category," "habitat," or "information diffusion."


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