[en] This paper aims at providing new insights on the risk drivers underly-
ing the value premium documented by Fama and French (1993). By using
news stories supplied by Thomson Reuters, we seek to explain comove-
ment in value and growth stock returns from common information factors
embedded in news. We also distinguish between information coming from
common news stories and idiosyncratic shocks concerning a smaller subset
of firms. This framework allows us to answer three questions: 1) Is there
a common risk factor in the news which explains the value anomaly? 2) Is
idiosyncratic news information priced? and 3) Does the amount of media
attention to an information prime over the polarity of this information?
Disciplines :
Finance
Author, co-author :
Lambert, Marie ; Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise
