Faculty of Economics and Business Administration Publications Database

Journalist disagreement

Jacobs, Heiko
Müller, Sebastian
Volume: 41
Pages: 57 - 76
Month: November
ISSN-Print: 1386-4181
Link External Source: Online Version
Year: 2018
Keywords: Media; Journalists; Textual analysis; Differences of opinion; Return predictability

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.