Capital market effects of media synthesis and dissemination: evidence from robo-journalism

• 成果类型: Article
• 署名作者: Blankespoor, Elizabeth; deHaan, Ed; Zhu, Christina
• 署名单位: Stanford University; University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9422-2
• 发表日期: 2018
• 页码: 1-36
• 关键词: financial-markets; Price discovery; earnings news; INFORMATION; liquidity; disclosure; attention; investors; coverage; IMPACT

摘要

In 2014, the Associated Press (AP) began using algorithms to write articles about firms' earnings announcements. These robo-journalism articles synthesize information from firms' press releases, analyst reports, and stock performance and are widely disseminated by major news outlets a few hours after the earnings release. The articles are available for thousands of firms on a quarterly basis, many of which previously received little or no media attention. We use AP's staggered implementation of robo-journalism to examine the effects of media synthesis and dissemination, in a setting where the articles are devoid of private information and are largely exogenous to the firm's earnings news and disclosure choices. We find compelling evidence that automated articles increase firms' trading volume and liquidity. The effects are most likely driven by retail traders. We find no evidence that the articles improve or impede the speed of price discovery. Our study provides novel evidence on the impact of pure synthesis and dissemination of public information in capital markets and initial insights into the implications of automated journalism for market efficiency.