AFA2019会议论文（8）：The Role of Media in Finance

AFA2019会议论文（8）：The Role of Media in Finance

金融经济学 1周前

News-Driven Trading: Who Reads the News and When?

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Beyond Words: The Causal Effects of News on Information

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Home-Country Media Slant and Equity Prices 

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Guru Dreams and Competition: An Anatomy of the Economics of Blogs

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1、News-Driven Trading: Who Reads the News and When?

Anastassia Fedyk, University of California, Berkeley

Abstract

This paper explores the long-standing empirical fact of increased trading volume  around informational releases through the lens of canonical models of gradual information  diffusion and differences of opinion. I use a unique dataset of clicks on news  by key finance professionals to distinguish between trading among investors who see  the news at different times and trading among investors who see the same news but  disagree regarding its interpretation. Consistent with gradual information diffusion,  dispersion in the timing of investors’ attention is strongly predictive of daily trading  volume surges around earnings announcements and volume surges within minutes of  individual news articles. The differences of opinion channel, measured as heterogeneity  of investors reading the news, is generally weaker in explaining trading volume surges,  but plays a larger role when the news is more ambiguous.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1825

2、Beyond Words: The Causal Effects of News on Information

Yuan Li, University of Southern California

Abstract

This paper studies the causal effects of media coverage on the information environment by examining the micro-process of press release timing. Although press releases in the first two minutes of each hour are indistinguishable in content, they cluster strongly in the very first minute. These clustered releases must compete for journalist attention, and are significantly less likely to be covered. Overall, media coverage is complementary to other information channels, and exogenous increases in coverage cause investors to produce more information via Edgar search, analysts to revise their forecasts, and more trading. However, suggestive evidence indicates overreaction (efficient reaction) to positive (negative) news.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1890

3、Home-Country Media Slant and Equity Prices 

Benjamin Golez, University of Notre Dame

Rasa Karapandza, EBS Business School

Abstract

Do national newspapers slant the presentation of the news to cater to the preferences of their home-country readers? If so, does media slant affect investor behavior across countries? We address these questions by analyzing media coverage of the automotive industry in the US, Germany, and Japan. We use detailed news data, coded by trained native speakers, covering over 190,000 newspaper articles on auto manufacturers during 2007–2016. We find that national newspapers report systematically more favorably about home auto manufacturers than about foreign auto manufacturers. Results hold across all countries, for a subset of large national newspapers, and for each country pair. The evidence is robust to controlling for selective media coverage and various supply-side effects. The home-country media slant is strongest for news that is more difficult to verify, and it becomes substantially higher during bad times for companies, such as around major auto scandals, on the announcement days of car recalls, and at times of low market valuations. We also find confirming evidence for catering to home readers in international editions of the Wall Street Journal. The home-country media slant appears to have a strong effect on equity investors. Differences in media reporting across countries predict stock price deviations of cross-listed stocks. An investment strategy of “betting against the home media” yields abnormal monthly returns in excess of 2%.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=418

4、Guru Dreams and Competition: An Anatomy of the Economics of Blogs 

Yi Dong, Shanghai University of Finance and Economics

Massimo Massa, INSEAD

Hong Zhang, Tsinghua University

Abstract

The rise of social media has encouraged guru dreams because of its low entry barrier and highly skewed distribution of rewards (public attention). The pursuit of guru status, however, may be achieved through information provision or cheap talk, and competition inherent to social media may incentivize participants to either process better information or resort to more extreme options. Using a unique dataset of blogs covering S&P 1500 stocks over the 2006-2011 period, we find evidence that blog tones can predict future stock returns. However, competition distorts opinions rather than encouraging better processing of information, leading to more exaggerated negative tones. Tests based on plausibly exogenous variations in competition introduced by the exiting of bloggers confirm this finding. Our results suggest that competition may distort the incentives for informed social media participants to supply information.

原文链接：

https://editorialexpress.com/conference/AFA2019/program/AFA2019.html#13

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