Publikationen

Art der Publikation: Beitrag in Zeitschrift

Journalist Disagreement

Autor(en):
Heiko Jacobs, Alexander Hillert, Sebastian Müller
Titel der Zeitschrift:
Journal of Financial Markets, forthcoming
Veröffentlichung:
2018
Schlagworte:
Media Journalists Textual analysis Differences of opinion Return predictability
Digital Object Identifier (DOI):
doi:10.1016/j.finmar.2018.09.002
Link zum Volltext:
https://www.sciencedirect.com/science/article/pii/S1386418116301501
Zitation:
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Kurzfassung

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.