The Role of the Media in Disseminating Insider-Trading Activity
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
April 1, 2015
Chicago Booth Research Paper No. 13-34
Fama-Miller Working Paper
We use the disclosure of insiders’ trades to investigate whether the manner in which news is disseminated by the media affects the way securities markets respond to news. To do this, we utilize recent changes in disclosure rules governing insider trades to cleanly identify media effects. Using high-resolution intraday data, we find clear effects of media disclosure on the way prices and volume respond to news. These results help to resolve open questions regarding the importance of investor inattention and why apparently “second hand” news affects securities prices.
Number of Pages in PDF File: 35
Date posted: March 19, 2013 ; Last revised: April 10, 2015
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