Firm Attention to Macroeconomic News

Sample: 1994-2020
Frequency: annual
Coverage: publicly traded firms in the U.S.

Data files

1. attn_firmlevel.csv
2. attn_firmlevel.dta

Contents

Firm-level attention data from Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach by Wenting Song and Samuel Stern.

This paper provides empirical evidence of the importance of firm attention to macroeconomic dynamics. We construct a text-based measure of attention to macroeconomic news and document that attention is polarized across firms and countercyclical. Differences in attention lead to asymmetric responses to monetary policy: expansionary monetary shocks raise market values of attentive firms more than those of inattentive firms, and contractionary shocks lower values of attentive firms by less. Attention also mitigates the effects of macroeconomic uncertainty on firm performance. In a quantitative rational inattention model that is calibrated with this new text-based measure, inattention drives monetary non-neutrality. As average attention varies over the business cycle, so does the efficacy of monetary policy.

Variable descriptions

• For details on variable construction, refer to the main text of the paper.

• The main attention variables are d_tot_<macro_topic> (e.g., d_tot_general): firm attention to macroeconomic news measured based on the full texts of its annual report.

• Data is provided in csv and dta formats, each containing the following variables:

  Variable name	Description
  accession_number	Accession number
  cik	SEC's CIK number
  name	Firm name
  filing_type	SEC filing type
  sic	SIC industry code
  filingdate	Filing date
  conformdate	Conform date
  fyear	Fiscal year
  d_<sec_section>_<macro_topic>	Prevalence attention measure for <macro_topic> in <sec_section>
  s_<sec_section>_<macro_topic>	Intensity attention measure for <macro_topic> in <sec_section>
  len_total_raw	Word count
  len_total	Word count excl. stop words
  len_unique_raw	Unique words
  len_unique	Unique words excl. stop words
  jaccard	Jaccard score

• Details for <macro_topic>

  Variable name	Description
  general	Attention to general macroeconomic news
  gdp	Attention to output news
  employment	Attention to employment news
  consumption	Attention to consumptions news
  inflation	Attention to inflation news
  investment	Attention to investment news
  housing	Attention to housing news
  oil	Attention to oil news
  forex	Attention to foreign exchange news

• Details for <sec_section>

  Variable name	Description
  tot	Attention in the entire annual report (baseline measure)
  ops	Attention in operations-related sections (Items 1 and 7)
  rsk	Attention in risk-related sections (Items 1A and 7A)
  data	Attention in data-disclosure sections (Items 6, 8, 9, and 15)