The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes

• 成果类型: Article
• 署名作者: Peress, Joel
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12179
• 发表日期: 2014
• 页码: 2007-2043
• 关键词: COMMON-STOCK INVESTMENT; institutional investors; individual stocks; RETURN VARIATION; trading volume; news; prices; earnings; overconfidence; underreaction

摘要

The media are increasingly recognized as key players in financial markets. I investigate their causal impact on trading and price formation by examining national newspaper strikes in several countries. Trading volume falls 12% on strike days. The dispersion of stock returns and their intraday volatility are reduced by 7%, while aggregate returns are unaffected. Moreover, analysis of return predictability indicates that newspapers propagate news from the previous day. These findings demonstrate that the media contribute to the efficiency of the stock market by improving the dissemination of information among investors and its incorporation into stock prices.