Hu, Junjie; Härdle, Wolfgang - 2021 - This draft: October 2021
We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than … 1 million news articles collected from the internet, we construct time-varying directed networks of the S&P500 stocks …. The well-defined directed news networks are formed based on a modest assumption about firm-specific news structure, and we …
