Do I Really Want to Hear the News? Public Information Arrival and Investor Beliefs

Rutgers Business School, 2020

Posted: 14 Jul 2020

See all articles by Azi Ben-Rephael

Azi Ben-Rephael

Rutgers Business School - Rutgers University

Yehuda (Yud) Izhakian

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Date Written: June 20, 2020

Abstract

We provide new empirical evidence on the implications of public information arrival for investors' beliefs, using a daily measure of dispersion (uncertainty) of beliefs about firm underlying return distribution. Consistent with convergence in beliefs (less disagreement), the arrival of public firm-specific information reduces beliefs dispersion. The effect is stronger for events that are salient, have media coverage, and attract institutional investors' attention. The effect of macroeconomic announcements is weaker than the effect of firm-specific events. In contrast, events involving frictions between firm stakeholders increase beliefs dispersion.

Keywords: Investor Beliefs, Information Arrival, Differences-of-Opinions, Gradual-Information-Diffusion, Investor Disagreement, News, Investor Attention, Ambiguity, Ambiguity Measurement

JEL Classification: D82, D83, G11, G12, G40

Suggested Citation

Ben-Rephael, Azi and Izhakian, Yehuda (Yud), Do I Really Want to Hear the News? Public Information Arrival and Investor Beliefs (June 20, 2020). Rutgers Business School, 2020, Available at SSRN: https://ssrn.com/abstract=3631760

Azi Ben-Rephael (Contact Author)

Rutgers Business School - Rutgers University ( email )

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

Yehuda (Yud) Izhakian

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )

17 Lexington Avenue
New York, NY 10010
United States

HOME PAGE: http://people.stern.nyu.edu/yizhakia/

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