Capital Market Effects of Media Synthesis and Dissemination: Evidence from Robo-Journalism

51 Pages Posted: 21 Nov 2016 Last revised: 13 May 2017

Elizabeth Blankespoor

Stanford University - Graduate School of Business

Ed deHaan

University of Washington - Michael G. Foster School of Business

Christina Zhu

Stanford University - Graduate School of Business

Date Written: May 10, 2017

Abstract

In 2014, the Associated Press (AP) began using algorithms to write media articles about firms’ earnings announcements. These “robo-journalism” articles synthesize information from firms’ press releases, analyst reports, and stock performance, and are widely disseminated by major news outlets a few hours after the earnings release. The articles are available for thousands of firms on a quarterly basis, many of which previously received little or no media attention. We use AP’s staggered implementation of robo-journalism to examine the effects of media synthesis and dissemination, in a setting where the articles are devoid of private information and are largely exogenous to the firm’s earnings news and disclosure choices. We find compelling evidence that automated articles increase firms’ trading volume and liquidity. The effects are most likely driven by retail traders. We find no evidence that the articles improve or impede the speed of price discovery. Our study provides novel evidence on the impact of pure synthesis and dissemination of public information in capital markets, and initial insights into the implications of automated journalism for market efficiency.

An Internet Appendix with supplementary materials is available at the following URL: http://ssrn.com/abstract=2966859

Keywords: media, synthesis, dissemination, automation, trading volume, liquidity

Suggested Citation

Blankespoor, Elizabeth and deHaan, Ed and Zhu, Christina, Capital Market Effects of Media Synthesis and Dissemination: Evidence from Robo-Journalism (May 10, 2017). Available at SSRN: https://ssrn.com/abstract=2872784 or http://dx.doi.org/10.2139/ssrn.2872784

Elizabeth Blankespoor

Stanford University - Graduate School of Business ( email )

655 Knight Way
Stanford, CA 94305-5015
United States

Ed DeHaan (Contact Author)

University of Washington - Michael G. Foster School of Business ( email )

Box 353200
Seattle, WA 98195-3200
United States

Christina Zhu

Stanford University - Graduate School of Business ( email )

655 Knight Way
Stanford, CA 94305-5015
United States

Paper statistics

Downloads
341
Rank
70,867
Abstract Views
1,160