Comovement and the News
I 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 contemp...
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| Language: | en |
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The University of Arizona.
2013
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| Online Access: | http://hdl.handle.net/10150/293408 |