We use the disclosure of insiders' trades to investigate whether the way in which news is disseminated by the media affects the securities market response. To do this, we utilize recent changes in the disclosure rules governing insider trades and an exogenous change in media coverage to cleanly identify media effects. Using high-resolution intraday data and a plausibly exogenous change in media coverage, we find clear effects of media disclosure in price and volume responses to news. These results help resolve open questions regarding the importance of investor inattention and help explain why apparently "second hand news affects securities prices.
| Speaker: | Dr Jonathan Rogers Associate Professor, The University of Chicago |
| When: |
3.30 pm - 5.00 pm |
| Venue: | School of Accountancy [Map] Level 4, Meeting Room 4.1 |
| Contact: | Office of the Dean Email: SOAR@smu.edu.sg |