Cross Regional Differences in News Tone and the Change in Local Portfolios

Posted: 27 Jul 2016 Last revised: 8 Jul 2018

Taylan Mavruk

University of Gothenburg - Centre for Finance - School of Business, Economics and Law

Date Written: February 12, 2018

Abstract

This paper examines cross regional differences in tone for the same news event and relates it to local trading activity. Using a combination of detailed investor and media data the paper shows that local individual investors seem to be significant net buyers of local stocks that are in the local news. They show a significant reversal behavior for a given stale news event. Interestingly, for the given local news, non-locals change their portfolios in the local stocks by 6% on average. The tone of news amplifies the effect by 7%. Local trading activity increases more when the locally generated news event is republished in the same region compared to when it is republished across regions. Also, cross regional differences in tone provides significant information for investors, resulting in a decrease in information asymmetry between local and non-local investors when the same news event travels across regions.

Keywords: Cross regional differences in tone, local media, local trades, information asymmetry

JEL Classification: G11, G14

Suggested Citation

Mavruk, Taylan, Cross Regional Differences in News Tone and the Change in Local Portfolios (February 12, 2018). Swedish House of Finance Research Paper No. 17-12. Available at SSRN: https://ssrn.com/abstract=2814483 or http://dx.doi.org/10.2139/ssrn.2814483

Taylan Mavruk (Contact Author)

University of Gothenburg - Centre for Finance - School of Business, Economics and Law ( email )

Vasagatan 1
Gothenburg, 40530
Sweden

HOME PAGE: http://www.cff.handels.gu.se/faculty-presentation/taylan-mavruk/

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