Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 12, 2023 erstellt
Beschreibung:
We theoretically and empirically show that stock return exposure to media narratives’ attention, measured with standard methods for extracting topic attention from news text, is linked to lower stock price informativeness about future fundamentals. In the model, narrative exposure proxies for media bias-driven return volatility and is inversely related to price informativeness. Empirically, narrative exposure significantly decreases price informativeness and explains over 82% of idiosyncratic variance in the cross-section. Consequently, idiosyncratic variance and variance related to public information decrease stock price informativeness. Moreover, stocks affected by large average narrative shocks demonstrate elevated trading volume