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

The Journal of finance (New York), 2014-10, Vol.69 (5), p.2007-2043 [Peer Reviewed Journal]

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Title:
The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes
Author: PERESS, JOEL
Subjects: Capital market ; Certificates of deposit ; Efficient markets ; Financial markets ; Investors ; Media ; News content ; News media ; P values ; Press ; Rates of return ; Securities markets ; Statistical median ; Stock exchange ; Stock markets ; Stock prices ; Stock returns ; Strikes ; Studies ; Volatility
Is Part Of: The Journal of finance (New York), 2014-10, Vol.69 (5), p.2007-2043
Description: 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.
Publisher: Cambridge: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0022-1082
EISSN: 1540-6261
DOI: 10.1111/jofi.12179
CODEN: JLFIAN
Source: Alma/SFX Local Collection

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