News Consumption: From Information to Returns

This paper takes a novel approach to investigating the link between financial information and asset returns by analyzing a direct measure of finance professionalsu0027 attention to news. Using a comprehensive dataset of clicks on news by hundreds of thousands of finance professionals, I document differential patterns of news consumption by readers in different industries. The findings indicate that hedge funds and private investors are faster, more active, and more sophisticated in their news consumption than their counterparts in investment management and other industries. News consumption of hedge fund employees and private investors also has the largest impact on security returns and trading volumes.