Poster (Scientific congresses and symposiums)
Style coverage in Institutional Media
Gillain, Cédric; Ittoo, Ashwin; Lambert, Marie
202012th Annual Hedge Fund Research Conference
 

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Keywords :
Asset pricing; Style investing; Textual analysis; Machine learning
Abstract :
[en] Since 2017, the number of listed indices has exceeded the number of listed firms in the US markets. Exchange traded funds have grown in popularity and represent a liquid way to get exposure to equity style investing. This situation raises some concerns regarding investors’ limitations in processing information. Whereas investors benefit from financial research for individual listed firms, no channel of information covers style or factor investing. We examine the informational role of financial media targeting institutional investors with regard to style investing. We extract equity style coverage and sentiment from news targeting institutional investors. We further investigate news style coverage implication on mutual fund managers trading behavior and holdings. Our work extends the literature on investor attention to news with a special emphasis to equity style investments.
Disciplines :
Finance
Author, co-author :
Gillain, Cédric ;  Université de Liège - ULiège > HEC Liège : UER > UER Opérations : Systèmes d'information de gestion
Ittoo, Ashwin ;  Université de Liège - ULiège > HEC Liège : UER > UER Opérations : Systèmes d'information de gestion
Lambert, Marie ;  Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
Language :
English
Title :
Style coverage in Institutional Media
Publication date :
17 January 2020
Event name :
12th Annual Hedge Fund Research Conference
Event organizer :
Université Paris-Dauphine
Event place :
Paris, France
Event date :
January 16-17, 2020
By request :
Yes
Audience :
International
Available on ORBi :
since 20 February 2020

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