The role of the media in disseminating insider-trading news

• 成果类型: Article
• 署名作者: Rogers, Jonathan L.; Skinner, Douglas J.; Zechman, Sarah L. C.
• 署名单位: University of Colorado System; University of Colorado Boulder; University of Chicago
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-016-9354-2
• 发表日期: 2016
• 页码: 711-739
• 关键词: EARNINGS ANNOUNCEMENTS; information-content; MARKET-EFFICIENCY; financial-markets; stock-prices; investors; liquidity; volume; trades; COSTS

摘要

We use the process through which insider trading (SEC Form 4) filings are made public to investigate whether media coverage affects the way securities markets assimilate news. To do this, we use recent changes in disclosure rules governing insider trades as well as the initiation of coverage by Dow Jones to cleanly identify media effects. Using high-resolution intraday data, we find clear effects of media dissemination on the way prices and volume respond to insider trading news in the minutes after its release. These results help to resolve open questions regarding the role of the media in capital markets, including why apparently second hand news affects securities prices.