Applying a “co-coverage” concept to the Dow Jones Newswire articles, we propose to identify each firm's news-based peers (NBPs) and thereby construct a time-varying firm-centric grouping aimed to augment existing industry classification schemes. The advantage of NBP-augmented schemes over...

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...

Using recent advances in network theory, we estimate the intra-industry connectedness for US publicly traded companies going back to the 1920s. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock's interdependence with its industry peers. Using our...