The Network of Firms Implied by the News

We show that the news is a rich source of data on distressed firm links that drive firm-level and aggregate risks. The news tends to report about links in which a less popular firm is distressed and may contaminate a more popular firm. This constitutes a contagion channel that yields predictable returns and downgrades. Shocks to the degree of news-implied firm connectivity predict increases in aggregate volatilities, credit spreads, and default rates, and declines in output. To obtain our results, we propose a machine learning methodology that takes text data as input and outputs a data-implied firm network

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Year of publication:	2020
Authors:	Schwenkler, Gustavo
Other Persons:	Zheng, Hannan (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Unternehmensnetzwerk \| Business network \| Theorie \| Theory

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Extent:	1 Online-Ressource (61 p)
Series:	ESRB Working Paper Series ; No. 108
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2020 erstellt
Other identifiers:	10.2139/ssrn.3664879 [DOI]
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; L11 - Production, Pricing, and Market Structure Size; Size Distribution of Firms ; G10 - General Financial Markets. General ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012826785