How Important is the Financial Press in Global Markets?

104 Pages Posted: 31 Mar 2009 Last revised: 19 Nov 2011

See all articles by John M. Griffin

John M. Griffin

University of Texas at Austin - Department of Finance

Nicholas Hirschey

London Business School

Patrick J. Kelly

University of Melbourne - Department of Finance

Date Written: September 23, 2010

Abstract

This paper studies differences in the information content of public news announcements in markets around the world. Our sample of public news events consists of carefully screened earnings announcement dates and 870,000 news articles from 56 markets. In most developed markets, a firm’s stock price moves much more on days when there is public news about the firm. In contrast, in many emerging markets, news day return volatility is similar to volatility on non-news days. Cross-country differences in news reactions are best explained by measures of insider trading and technological development. Differences across markets in returns prior to takeovers are also consistent with information leakage due to insider trading. Markets with little stock price reaction to news typically have less reversal following non-news days consistent with relatively more informed and less liquidity trading. Our findings should be useful to policy makers and investors in quantifying the extent of insider trading and how public news affects prices.

Keywords: News, information production, earnings announcements, takeovers

JEL Classification: F30, G14, G15

Suggested Citation

Griffin, John M. and Hirschey, Nicholas and Kelly, Patrick J., How Important is the Financial Press in Global Markets? (September 23, 2010). AFA 2010 Atlanta Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1365020 or http://dx.doi.org/10.2139/ssrn.1365020

John M. Griffin

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)

HOME PAGE: http://www.jgriffin.info

Nicholas Hirschey (Contact Author)

London Business School ( email )

London Business School
United States

Patrick J. Kelly

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

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