The Role of the Media in Disseminating Insider Trading News
Jonathan L. Rogers
University of Colorado at Boulder - Leeds School of Business
Douglas J. Skinner
The University of Chicago - Booth School of Business
Sarah L. C. Zechman
University of Chicago - Booth School of Business
March 1, 2013
Chicago Booth Research Paper No. 13-34
Fama-Miller Working Paper
We use the disclosure of insiders’ trades to investigate whether the way in which news is disseminated by the media affects the market response. To do this, we use recent changes in the disclosure rules governing insider trades and an exogenous change in media coverage to cleanly identify media effects. Using high-resolution intraday data and a plausibly exogenous change in media coverage, we find clear media effects in the price and volume response to news. These results help resolve open questions regarding the importance of investor inattention and help explain why apparently “second hand” news affects securities prices.
Number of Pages in PDF File: 46
Date posted: March 19, 2013
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