Publications
Publications
- 2011
- Journal of Finance
The Causal Impact of Media in Financial Markets
By: Christopher Parsons and J. Engelberg
Abstract
Disentangling the causal impact of media reporting from the impact of the events being reported is challenging. We solve this problem by comparing the behaviors of investors with access to different media coverage of the same information event. We use zip codes to identify 19 mutually exclusive trading regions corresponding with large U.S. cities. For all earnings announcements of S&P 500 Index firms, we find that local media coverage strongly predicts local trading, after controlling for earnings, investor, and newspaper characteristics. Moreover, local trading is strongly related to the timing of local reporting, a particular challenge to nonmedia explanations.
Keywords
Citation
Parsons, Christopher, and J. Engelberg. "The Causal Impact of Media in Financial Markets." Journal of Finance 66, no. 1 (February 2011): 67–97.