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| Type | Other Publication |
| Scope | Discipline-based scholarship |
| Title | Why do investors disagree? The role of a dispersed news flow |
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| Date | 2013 |
| Abstract Text | Using recent advances in news analytics, we construct an empirical measure of aggregate news dispersion and study how a dispersed news flow a↵ects investors and aggregate stock returns. Our measure reflects the polarization of news across firms, based on millions of company-specific news items. We find that news dispersion i) predicts investor disagreement positively, ii) is positively related to turnover, iii) predicts aggregate stock returns negatively, and iv) predicts realized variance positively. The e↵ects of news dispersion are consistent with models of disagreement and short-sales constraints and support the idea that a dispersed news flow represents a fundamental reason for why investors disagree. |
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