Selected publications from our research team

Journalist Disagreement

Type of Publication: Article in Journal

Journalist Disagreement

Author(s):
Jacobs, Heiko; Hillert, Alexander; Müller, Sebastian
Title of Journal:
Journal of Financial Markets
Volume:
2018
Number of Issue:
41
pages:
57-76
Keywords:
Media Journalists Textual analysis Differences of opinion Return predictability
Digital Object Identifier (DOI):
doi:10.1016/j.finmar.2018.09.002
Link to complete version:
https://www.sciencedirect.com/science/article/pii/S1386418116301501
Citation:
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Abstract

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.

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