6533b822fe1ef96bd127d8e7
RESEARCH PRODUCT
Can an unglamorous non-event affect prices? The role of newspapers
Andrea CipolliniRiccardo FerrettiFrancesco Pattarinsubject
Macroeconomicsevent studieEconomics and EconometricsMarket efficiencyPositive reactionSettore SECS-P/05 - EconometriainattentionMonetary economicsmedi and and financial marketNewspaperlcsh:Financelcsh:HG1-99990502 economics and businessddc:330EconomicsC58050207 economicsmedia and financial marketsStock (geology)Public informationMedia and financial market050208 financeG14Print medialcsh:Economic theory. Demographymarket efficiency05 social sciencesMarket efficiencyEvent studymarket efficiency; inattention; media and financial markets; event studies; wild boostraplcsh:HB1-3840Price reactionInattentionwild boostrapevent studiesFinancedescription
AbstractOur paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on the major national financial newspaper, the prices of value stocks did, on average, show a positive reaction. The price reaction was limited to small caps stocks and disappeared within three weeks. Over the period of analysis, we could not find any abnormal behaviour of the returns of small and value stocks on other European markets. These findings support the view that newspapers play a role in disseminating information to small investors and grabbing their attention, even if news are continuously realeased by faster and more sophisticated media.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-01 | Cogent Economics & Finance |