How Important is the Financial Press in Global Markets?
104 Pages Posted: 31 Mar 2009 Last revised: 19 Nov 2011
Date Written: September 23, 2010
Abstract
This paper studies differences in the information content of public news announcements in markets around the world. Our sample of public news events consists of carefully screened earnings announcement dates and 870,000 news articles from 56 markets. In most developed markets, a firm’s stock price moves much more on days when there is public news about the firm. In contrast, in many emerging markets, news day return volatility is similar to volatility on non-news days. Cross-country differences in news reactions are best explained by measures of insider trading and technological development. Differences across markets in returns prior to takeovers are also consistent with information leakage due to insider trading. Markets with little stock price reaction to news typically have less reversal following non-news days consistent with relatively more informed and less liquidity trading. Our findings should be useful to policy makers and investors in quantifying the extent of insider trading and how public news affects prices.
Keywords: News, information production, earnings announcements, takeovers
JEL Classification: F30, G14, G15
Suggested Citation: Suggested Citation
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