CEO Interviews on CNBC

64 Pages Posted: 13 Oct 2013  

Y. Han (Andy) Kim

Sungkyunkwan University

Felix Meschke

University of Kansas - Finance Area

Date Written: October 9, 2013

Abstract

We investigate whether media attention systematically affects stock prices through the trading of individual investors 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 1.62%, yet prices exhibit strong reversion of 1.08% over the following ten trading days. The magnitude of price response is positively correlated with the viewership as well as the language tone of the CEO. We find that individual investors are net buyers on the interview days, and that they keep on buying if the interview was both carried out by attractive anchorwoman and was watched by more male viewers. The price reversal is attributable to abnormal short-selling volume on interview day. Moreover, we find that the price run-up before the interviews is largely driven by individual investors that are excited even at the pre-announcement of the interview. We also find evidence of asymmetric attention cascade coming from CNBC interview upon the tone of media coverage of the firm, tilted towards the negative.

Keywords: Market efficiency, investor attention, media, CNBC, individual investors, gender

JEL Classification: G14, G12

Suggested Citation

Kim, Y. Han (Andy) and Meschke, Felix, CEO Interviews on CNBC (October 9, 2013). Available at SSRN: https://ssrn.com/abstract=2339529 or http://dx.doi.org/10.2139/ssrn.2339529

Y. Han (Andy) Kim (Contact Author)

Sungkyunkwan University ( email )

422 School of Business
25-2 SungKyunKwan-Ro, Jongno-ju
Seoul, 110-745
Korea, Republic of (South Korea)
+82-2-760-0622 (Phone)
+82-2-760-0622 (Fax)

HOME PAGE: http://https://sites.google.com/site/andyyhankim/

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/

Register to save articles to
your library

Register

Paper statistics

Downloads
168
rank
136,341
Abstract Views
1,494
PlumX