Media Implied Linkages

Media Implied Linkages
Inter‐firm economic links have received much attention in recent empirical asset‐pricing research. This paper offers some insights into the uses of media coverage insofar as identifying potential economic links. Using the co‐mentioning of stocks in the media to proxy for economic links, we show that firm returns are correlated with the prior returns of its connected firms. Decile spread portfolios using the universe of S&P500 firms display up to 12.5% annualized return over the period 2011–2015. The results further demonstrate the added value of using information across thousands of media sources. 


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By Research (white paper)
on 28 Feb 2016