The role of the media in disseminating insider-trading news

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• 作者：Jonathan L. Rogers ; Douglas J. Skinner ; Sarah L. C. Zechman
• 刊名：Review of Accounting Studies
• 出版年：2016
• 出版时间：September 2016
• 年：2016
• 卷：21
• 期：3
• 页码：711-739
• 全文大小：1,621 KB
• 刊物主题：Accounting/Auditing; Finance/Investment/Banking; Public Finance & Economics;
• 出版者：Springer US
• ISSN：1573-7136
• 卷排序：21

文摘

We use the process through which insider trading (SEC Form 4) filings are made public to investigate whether media coverage affects the way securities markets assimilate news. To do this, we use recent changes in disclosure rules governing insider trades as well as the initiation of coverage by Dow Jones to cleanly identify media effects. Using high-resolution intraday data, we find clear effects of media dissemination on the way prices and volume respond to insider trading news in the minutes after its release. These results help to resolve open questions regarding the role of the media in capital markets, including why apparently second hand news affects securities prices.KeywordsInsider tradingDisclosureDisseminationMedia