编号：e-2023-9-1
题目：diamond cuts diamond: news co-mention momentum spillover prevails in china
作者：shuyi ge, shaoran li, hanyu zheng
九游会平台的联系方式：shaoran li, lishaoran@pku.edu.cn
摘要： we conduct a comprehensive study on momentum spillovers in the chinese stock market using various types of economic linkages. by developing a flexible and innovative algorithm to identify linkages among listed firms using millions of chinese business news articles, we find that the news co-mention momentum spillover is significantly stronger compared to other forms of momentum spillovers. using spanning tests and fama-macbeth regressions, we further show that the news co-mention momentum spillover unifies all different forms of momentum spillover effects in the chinese stock market. notably, the analyst co-coverage momentum spillover effect, which is the dominant species in the us stock market, is subsumed by the news co-mention momentum spillover effect in the chinese stock market. we further explore the differences in the information content of links implied by news co-mentioning and other proxies. we suggest that the dominance of news co-mention momentum spillover over others can be attributed to two primary factors: comprehensive information and prompt updates.
关键词：economic linkage, big textual data, momentum spillover, news co-mention, limited attention