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.

Research topics

word of mouthinvestor networksinformation diffusionsocial finance