JFE2021
The Rate of Communication
Journal of Financial Economics 141, 533-550
In one sentence
We quantify how contagious financial news and opinions are.
Summary
We identify plausibly exogenous shocks that cause treated investors to trade abnormally. We then trace any contagion of abnormal trading activity through their network. Borrowing methods from epidemiology, we estimate the rate of communication and heterogeneity in that rate.
Data, code & appendices
Please click here for the Online Appendix.