The Causal Impact of Media in Financial Markets

• 成果类型: Article
• 署名作者: Engelberg, Joseph E.; Parsons, Christopher A.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01626.x
• 发表日期: 2011
• 页码: 67-97
• 关键词: Bias; INVESTMENT; investors; geography; BEHAVIOR; news

摘要

Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all earnings announcements of S&P 500 Index firms, we find that local media coverage strongly predicts local trading, after controlling for earnings, investor, and newspaper characteristics. Moreover, local trading is strongly related to the timing of local reporting, a particular challenge to nonmedia explanations.