43 Pages Posted: 19 Mar 2013 Last revised: 1 Mar 2016
Date Written: February 1, 2016
We use the process through which insider trading (SEC Form 4) filings are made public to investigate whether media coverage affects the way securities markets assimilate news. To do this, we utilize recent changes in disclosure rules governing insider trades as well as the initiation of coverage by Dow Jones to cleanly identify media effects. Using high-resolution intraday data, we find clear effects of media dissemination on the way prices and volume respond to insider trading news in the minutes after its release. These results help to resolve open questions regarding the role of the media in capital markets, including why apparently “second hand” news affects securities prices.
Keywords: Insider trading, disclosure, dissemination, media
JEL Classification: G14, G18, M40
Suggested Citation: Suggested Citation
Rogers, Jonathan L. and Skinner, Douglas J. and Zechman, Sarah L. C., The Role of the Media in Disseminating Insider-Trading News (February 1, 2016). Review of Accounting Studies, Forthcoming; Chicago Booth Research Paper No. 13-34; Fama-Miller Working Paper. Available at SSRN: https://ssrn.com/abstract=2235054 or http://dx.doi.org/10.2139/ssrn.2235054