Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including...

A potential important source of jumps in stock returns can be material news events. In this paper, we collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analysis to derive measures summarizing those news. We find that measures of news flow...

This paper identifies an important source of variation in U.S. firms' material information flows: their SEC current report filing frequency. Exploiting cross-sectional variation in this novel proxy for information intensity, this paper finds that firms with higher information intensity...

This paper proposes a measure of labor market connectivity based on the similarity in the composition of occupational knowledge characteristics across industries and provides evidence of return predictability in the cross-section of industries that are connected through the labor market. In...