A growing body of literature analyses the impact of news on companies’ equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission of news to prices goes through a combination of changing earnings expectations and risk premia. First, we disentangle sectoral equity prices into...

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...