CEO Interviews on CNBC

Abstract:     
This paper investigates whether media attention systematically affects stock prices by exploiting the substantial discrepancy between perceived and actual information content of 6,937 CEO interviews on CNBC. The average cumulative abnormal stock return over the [-2, 0] trading day window is 162 basis points, yet prices exhibit a strong reversion of 108 bps over the following ten trading days. This paper traces the mechanism through which media attention affects stock prices by capturing the trading behavior of individual investors and short sellers, and by collecting interview transcripts, confounding event dates, and surrounding news stories to control for information effects. The results show that the number of people watching CNBC, the trading behavior of individual investors and short-sellers, and the characteristics of CEO interviews help explain the ensuing market reaction.

Keywords: Market efficiency, investor attention, media, CEO interviews, individual investors

JEL Classification: G14, G12

working papers series