Abstract

http://ssrn.com/abstract=2235054
 
 

References (26)



 
 

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The Role of the Media in Disseminating Insider Trading News


Jonathan L. Rogers


University of Chicago - Booth 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

Abstract:     
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

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Date posted: March 19, 2013  

Suggested Citation

Rogers, Jonathan L. and Skinner, Douglas J. and Zechman, Sarah L. C., The Role of the Media in Disseminating Insider Trading News (March 1, 2013). Chicago Booth Research Paper No. 13-34; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2235054 or http://dx.doi.org/10.2139/ssrn.2235054

Contact Information

Jonathan L. Rogers
University of Chicago - Booth School of Business ( email )
5807 S Woodlawn
Chicago, IL 60637-1561
United States
773-834-0161 (Phone)
Douglas J. Skinner (Contact Author)
The University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7137 (Phone)

Chicago Booth School of Business Logo

Sarah L. C. Zechman
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
(773)702-7136 (Phone)
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References:  26
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