Information Sources, Investor Disagreement, and Asset Pricing

This paper conducts two complementary studies to explore the role of information in financial markets. The first study examines information spillovers between news and social media, and shows that stronger social-to-news spillovers predict less stable markets, while news-to-social spillovers show the opposite effect. The second study finds a positive association between investor divergence and stock price jumps, and information asymmetry is more critical to explain this association. Overall, these findings help monitor systemic risk, market instability, and contagion effects, offering valuable insights for policymakers, market participants, and risk managers.