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Social and Behavioral Sciences Commons

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Research Collection School Of Economics

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2018

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Articles 1 - 2 of 2

Full-Text Articles in Social and Behavioral Sciences

News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu Nov 2018

News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu

Research Collection School Of Economics

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 long-short portfolio based on news co-occurrence generates a significant monthly alpha of 68 basis points. The results are robust to the inclusion of alternative attention proxies, sentiment measures, other news- and information-based predictors, across recession and expansion periods. We further validate the attention spillover effect by showing that news co-mentioning leads to greater increases in Google and …


Sharing Sequential Values In A Network, Ruben Juarez, Yu Ko Chiu, Jingyi Xue Sep 2018

Sharing Sequential Values In A Network, Ruben Juarez, Yu Ko Chiu, Jingyi Xue

Research Collection School Of Economics

Consider a sequential process where agents have individual values at every possible step. A planner is in charge of selecting steps and distributing the accumulated aggregate values among a number of agents. We model this process by a directed network, whereby each edge is associated with a vector of individual values. This model applies to several new and existing problems, e.g. developing a connected public facility and distributing total values received by surrounding districts, selecting a long-term production project and sharing final profits among partners of a firm, or choosing a machine schedule to serve different tasks and distributing total …