The Role of the Media in Disseminating Insider-Trading News

43 Pages Posted: 19 Mar 2013 Last revised: 1 Mar 2016

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 Colorado at Boulder - Leeds School of Business

Date Written: February 1, 2016

Abstract

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

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

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)

Sarah L. C. Zechman

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

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