We show that valuation uncertainty and information arrival are two key characteristics of factors that determine whether they are affected by sentiment or limited attention. Moreover, individual factors of the leading factor models do not have significant loadings on these two characteristics...

This paper constructs a comprehensive media climate change concern index based on the media coverages about climate change across a wide range of media channels from print text (newspapers) to voice (radios), and further to video (televisions). We find that the monthly change in the...

We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a...

Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are...

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...