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Journalist disagreement

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  • Hillert, Alexander
  • Jacobs, Heiko
  • Müller, Sebastian

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.

Suggested Citation

  • Hillert, Alexander & Jacobs, Heiko & Müller, Sebastian, 2018. "Journalist disagreement," Journal of Financial Markets, Elsevier, vol. 41(C), pages 57-76.
    • Handle: RePEc:eee:finmar:v:41:y:2018:i:c:p:57-76
    DOI: 10.1016/j.finmar.2018.09.002
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    More about this item

    Keywords

    Media; Journalists; Textual analysis; Differences of opinion; Return predictability;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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