Abstract
News is a major source of information where investors gather to make investment decision. When two firms are frequently mentioned together in news, investors are likely to pay keen attention to both companies. The frequently co-mentioned companies may form an information habitat. According to information diffusion theory in finance, firms in the same habitat are likely to exhibit returns comovement. Taking into account of coverage and persistency of co-mentioned news, we construct a dynamic industry classification scheme with the hope that it can outperform traditional approaches to classify firms into relevant industries.
| Original language | English |
|---|---|
| Publication status | Published - 16 Jun 2017 |
| Event | 1st International Conference on Econometrics and Statistics (EcoSta 2017) - The Hong Kong University of Science and Technology, Hong Kong, China Duration: 15 Jun 2017 → 17 Jun 2017 Conference number: 1st http://cmstatistics.org/EcoSta2017/ |
Conference
| Conference | 1st International Conference on Econometrics and Statistics (EcoSta 2017) |
|---|---|
| Abbreviated title | EcoSta 2017 |
| Place | China |
| City | Hong Kong |
| Period | 15/06/17 → 17/06/17 |
| Internet address |
Bibliographical note
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