CEO Interviews on CNBC

Posted: 21 Aug 2011

See all articles by Andy Kim

Andy Kim

Nanyang Technological University (NTU) - Nanyang Business School

Felix Meschke

University of Kansas - Finance Area

Date Written: August 21, 2011

Abstract

This paper investigates whether media attention systematically affects stock prices by exploiting the substantial discrepancy between perceived and actual information content of 6,937 CEO interviews on CNBC. The average cumulative abnormal stock return over the [-2, 0] trading day window is 162 basis points, yet prices exhibit a strong reversion of 108 bps over the following ten trading days. This paper traces the mechanism through which media attention affects stock prices by capturing the trading behavior of individual investors and short sellers, and by collecting interview transcripts, confounding event dates, and surrounding news stories to control for information effects. The results show that the number of people watching CNBC, the trading behavior of individual investors and short-sellers, and the characteristics of CEO interviews help explain the ensuing market reaction.

Keywords: Market efficiency, investor attention, media, CEO interviews, individual investors

JEL Classification: G14, G12

Suggested Citation

Kim, Andy and Meschke, Felix, CEO Interviews on CNBC (August 21, 2011). Available at SSRN: https://ssrn.com/abstract=1913360 or http://dx.doi.org/10.2139/ssrn.1913360

Andy Kim (Contact Author)

Nanyang Technological University (NTU) - Nanyang Business School ( email )

Singapore, 639798
Singapore

Felix Meschke

University of Kansas - Finance Area ( email )

Capitol Federal Hall
1654 Naismith Drive
Lawrence, KS 66045
United States
(347) 433-5495 (Phone)

HOME PAGE: http://www.business.ku.edu/faculty/meschke-felix/

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