Abstract

http://ssrn.com/abstract=2235054
 
 

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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

Abstract:     
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


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Date posted: March 19, 2013 ; Last revised: April 10, 2015

Suggested Citation

Rogers, Jonathan L. and Skinner, Douglas J. and Zechman, Sarah L. C., The Role of the Media in Disseminating Insider-Trading Activity (April 1, 2015). 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 Colorado at Boulder - Leeds School of Business ( email )
419 UCB
Boulder, CO 80309-0419
United States
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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