How Important Is the Financial Media in Global Markets?

被引：164

作者：

Griffin, John M. ^{[1
]}

Hirschey, Nicholas H. ^{[1
]}

Kelly, Patrick J. ^{[2
,3
]}

机构：

[1] Univ Texas Austin, McCombs Sch Business, Austin, TX 78746 USA

[2] Univ S Florida, Tampa, FL USA

[3] New Econ Sch, Moscow, Russia

来源：

REVIEW OF FINANCIAL STUDIES | 2011年 / 24卷 / 12期

关键词：

ANNUAL EARNINGS ANNOUNCEMENTS; INSIDER TRADING LAWS; INFORMATION; PRICE; NEWS; LIQUIDITY;

D O I：

10.1093/rfs/hhr099

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news and non-news days. We examine several hypotheses for our findings. Cross-country differences in stock price reactions are best explained by insider trading, followed by differences in the quality of the news dissemination mechanism. Our findings are useful for quantifying the extent of insider trading and how the financial media affects international markets.

引用

页码：3941 / 3992

页数：52

共 43 条

[21] Media Coverage and the Cross-section of Stock Returns [J].

Fang, Lily ;

Peress, Joel .

JOURNAL OF FINANCE, 2009, 64 (05) :2023-2052

[22] Insider Trading Laws and Stock Price Informativeness [J].

Fernandes, Nuno ;

Ferreira, Miguel A. .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (05) :1845-1887

[23]

Foster G., 1981, J ACCOUNT ECON, V3, P201, DOI DOI 10.1016/0165-4101(81)90003-3

[24] AN EARNINGS PREDICTION-APPROACH TO EXAMINING INTERCOMPANY INFORMATION TRANSFERS [J].

FREEMAN, R ;

TSE, S .

JOURNAL OF ACCOUNTING & ECONOMICS, 1992, 15 (04) :509-523

[25] Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks [J].

Gagnon, Louis ;

Karolyi, G. Andrew .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2009, 44 (04) :953-986

[26] VARIABLE SELECTION VIA GIBBS SAMPLING [J].

GEORGE, EI ;

MCCULLOCH, RE .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (423) :881-889

[27]

GIVOLY D, 1982, ACCOUNT REV, V57, P486

[28] Are the Fama and French factors global or country specific? [J].

Griffin, JM .

REVIEW OF FINANCIAL STUDIES, 2002, 15 (03) :783-803

[29] Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets [J].

Griffin, John M. ;

Kelly, Patrick J. ;

Nardari, Federico .

REVIEW OF FINANCIAL STUDIES, 2010, 23 (08) :3225-3277

[30]

Griffin John M., 2011, Examining the dark side of financial markets: Who trades ahead of major announcements?

← 1 2 3 4 5 →