A0793
Title: A tale of two news-implied linkages: Information structure, processing costs and cross-firm predictability
Authors: Shaoran Li - Peking University (China) [presenting]
Abstract: News-implied linkages are decomposed into two types: leader-follower links (LF) and peer links (PE), based on people's reading and information-processing habits. It explores how the structure of information impacts processing costs and subsequently leads to market outcomes by examining momentum spillover effects via these distinct linkage types. The findings indicate that the information structure of leader-follower links is more readily comprehensible to investors than peer linkages. Empirical evidence of this is provided by demonstrating faster attention spillover from leader to follower than among peer firms, using Baidu search data. Furthermore, it is documented that due to the lower information processing cost, information transmits through the leader-follower linkages more quickly, leading to a weaker momentum spillover effect compared to the more complex and less easily perceivable peer links.
