编号：e-2024-4-1
题目：a tale of two news-implied linkages: information structure, processing costs and cross-firm predictability
作者：shuyi ge, shaoran li, hanyu zheng
九游会平台的联系方式：shaoran li, srlee@pku.edu.cn
摘要：this paper decomposes news-implied linkages into two types: leader-follower links (lf) and peer links (pe), based on people’s reading and information-processing habits. we explore how the structure of information impacts processing costs and subsequently leads to market outcomes by examining momentum spillover effects via these distinct linkage types. our findings indicate that the information structure of leader-follower links is more readily comprehensible to investors than peer linkages. we provide empirical evidence of this by demonstrating faster attention spillover from leader to follower than among peer firms, using baidu search data. furthermore, we document that due to the lower information processing cost, information transmits through the leader-follower linkages more quickly, leading to a weaker momentum spillover effect compared to the more complex and less easily perceivable peer links.
关键词：information processing costs; limited attention; cross-firm momentum; news; big textual data; linked firms; attention spillover; return predictability.