Rumor Has It: Sensationalism in Financial Media

• 成果类型: Article
• 署名作者: Ahern, Kenneth R.; Sosyura, Denis
• 署名单位: University of Southern California; University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv006
• 发表日期: 2015
• 页码: 2050
• 关键词: information; MARKET; arbitrage; attention; news; returns; mergers; SHORTS; LIMITS

摘要

The media has an incentive to publish sensational news. We study how this incentive affects the accuracy of media coverage in the context of merger rumors. Using a novel dataset, we find that accuracy is predicted by a journalist's experience, specialized education, and industry expertise. Conversely, less accurate stories use ambiguous language and feature well-known firms with broad readership appeal. Investors do not fully account for the predictive power of these characteristics, leading to an initial target price overreaction and a subsequent reversal, consistent with limited attention. Overall, we provide novel evidence on the determinants of media accuracy and its effect on asset prices.