Journalists and the Stock Market

• 成果类型: Article
• 署名作者: Dougal, Casey; Engelberg, Joseph; Garcia, Diego; Parsons, Christopher A.
• 署名单位: University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California San Diego
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr133
• 发表日期: 2012
• 页码: 639
• 关键词: media bias; heteroskedasticity; BEHAVIOR; Managers; returns

摘要

We use exogenous scheduling of Wall Street Journal columnists to identify a causal relation between financial reporting and stock market performance. To measure the media's unconditional effect, we add columnist fixed effects to a daily regression of excess Dow Jones Industrial Average returns. Relative to standard control variables, these fixed effects increase the R-2 by about 35%, indicating each columnist's average persistent bullishness or bearishness. To measure the media's conditional effect, we interact columnist fixed effects with lagged returns. This increases explanatory power by yet another one-third, and identifies amplification or attenuation of prevailing sentiment as a tool used by financial journalists.