Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-21
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...