We investigate the impact of potential information hiding or disclosure delay originated from private subsidiaries on the future returns of their public parent firms. We find a significantly positive link between private subsidiaries' information disclosure (PSID) and the cross-section of future...

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to a certain loosely defined “concept” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information...

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics of intraday returns. Two parametric GARCHtype jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes news...

Media news may cover multiple firms in one article, which establishes a media connection across firms. We propose a media connection strength (MCS) measure, which defined as the number of news articles co-mentioning two firms. We find that the MCS measure can capture soft information about the...