How important is the financial media in global markets?

Review of Financial Studies

Volumn 24, Issue 12, 2011, Pages 3941-3992

  Griffin, John M ^a   Hirschey, Nicholas H ^a   Kelly, Patrick J ^b  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b NEW ECONOMIC SCHOOL   (Russian Federation)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 81255185857     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhr099     Document Type: Article

References (43)

1. Bae, K., W. Bailey, and C. Mao. 2006. Stock Market Liberalization and the Information Environment. Journal of International Money and Finance 25:404-28.
2. Bailey, W., G. Karolyi, and C. Salva. 2006. The Economic Consequences of Increased Disclosure: Evidence from International Cross-listings. Journal of Financial Economics 81:175-213
3. Bartram, S., G. Brown, and R.Stulz. 2011. Why Are U.S. Stocks More Volatile? Working Paper, Ohio State University.
4. Beck, T., A. Demirgü̧-Kunt, and R. Levine. 2000. A New Database on the Structure and Development of the Financial Sector. World Bank Economic Review 14:597-605.
5. Bekaert, G., C. Harvey, and C. Lundblad. 2007. Liquidity and Expected Returns: Lessons from Emerging Markets. Review of Financial Studies 20:1783-831.
6. Bhattacharya, U. 2006. Enforcement and Its Impact on Cost of Equity and Liquidity of the Market. In Canada Steps Up: Report of the Task Force to Modernize Securities Regulation in Canada 6 (Task Force to Modernize Securities Legislation in Canada, Thomas I.A. Allen, chairman).
7. Bhattacharya, U., and H. Daouk. 2002. The World Price of Insider Trading. Journal of Finance 57:75-108.
8. Bhattacharya, U., H. Daouk, B. Jorgenson, and C. Kehr. 2000. When an Event Is Not an Event: The Curious Case of an Emerging Market. Journal of Financial Economics 55:69-101.
9. Bhattacharya, U., N. Galpin, X. Yu, and R. Ray. 2009. The Role of the Media in the Internet IPO Bubble. Journal of Financial and Quantitative Analysis 44:657-82.
10. Bris, A., 2005. Do Insider Trading Laws Work? European Financial Management 11:267-312.
11. Bushee, B., J. Core, W. Guay, and J. Wee. 2010. The Role of the Business Press as an Information Intermediary. Journal of Accounting Research 48:1-19.
12. Chan, W. 2003. Stock Price Reaction to News and No-news: Drift and Reversal after Headlines. Journal of Financial Economics 70:223-60.
13. Charoenrook, A., and H. Daouk. 2005. A Study of Market wide Short selling Restrictions. Working Paper, Cornell University.
14. Chipman, H., E. George, and R. McCulloch. 2001. Practical Implementation of Bayesian Model Selection. In Model Selection, ed. P. Lahiri. Beachwood, OH: Institute of Mathematical Statistics, Monograph Series, volume 38:65-134.
15. Corrado, C. 1989. A Non parametric Test for Abnormal Security-price Performance in Event Studies. Journal of Financial Economics 23:385-95.
16. Cremers, M. 2002. Stock Return Predictability: A Bayesian Model Selection Perspective. Review of Financial Studies 15:1223-49.
17. DeFond, M., M. Hung, and R. Trezevant. 2007. Investor Protection and the Information Content of Annual Earnings Announcements: International Evidence. Journal of Accounting and Economics 43:37-67.
18. Dimson, E. 1979. Risk Measurement When Shares Are Subject to Infrequent Trading. Journal of Financial Economics 7:197-226.
19. Djankov, S., R. La Porta, F. Lopez-de-Silanes, and A. Shleifer. 2008. The Law and Economics of Self-dealing. Journal of Financial Economics 88:430-65.
20. Dyck, A., N. Volchkova, and L. Zingales. 2008. The Corporate Governance Role of the Media: Evidence from Russia. Journal of Finance 63:1093-135.
21. Fang, L., and J. Peress. 2009. Media Coverage and the Cross-section of Stock Returns. Journal of Finance 64:2023-52.
22. Fernandes, N., and M. Ferreira. 2009. Insider Trading Laws and Stock Price Informativeness. Review of Financial Studies 22:1845-77.
23. Foster, G. 1981. Intra-industry Information Transfers Associated with Earnings Releases. Journal of Accounting and Economics 3:201-32.
24. Freeman, R., and S. Tse. 1992. An Earnings Prediction Approach to Examining Intercompany Information Transfers. Journal of Accounting and Economics 15:509-23
25. Gagnon, L., and G. Karolyi. 2009. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-listed Stocks. Journal of Financial and Quantitative Analysis 44:953-86.
26. George, E., and R. McCulloch. 1993. Variable Selection via Gibbs Sampling. Journal of the American Statistical Association 88:881-89.
27. Givoly, D., and D. Palmon. 1982. Timeliness of Annual Earnings Announcements: Some Empirical Evidence. Accounting Review 57:486-508.
28. Griffin, J. 2002. Are the Fama and French Factors Global or Country-specific? Review of Financial Studies 10:783-803.
29. Griffin, J., P. Kelly, and F. Nardari. 2010. Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets. Review of Financial Studies 23:3225-77.
30. Griffin, J., T. Shu, and S. Topaloglu. 2011. Examining the Dark Side of Financial Markets: Do Institutions Trade on Information from Investment Bank Connections? Working Paper, University of Texas.
31. Hou, K. 2007. Industry Information Diffusion and the Lead-lag Effect in Stock Returns. Review of Financial Studies 20:1113-38.
32. Huberman, G., and T. Regev. 2001. Contagious Speculation and a Cure for Cancer: A Nonevent That Made Stock Prices Soar. Journal of Finance 56:387-96.
33. Kelly, P. 2007. Information Efficiency and Firm-specific Return Variation. Working Paper, University of South Florida.
34. Lang, M., K. Lins, and D. Miller. 2003. ADRs, Analysts, and Accuracy: Do ADRs Improve a Firm's Information Environment and Lower Its Cost of Capital? Journal of Accounting Research 41:317-45.
35. Lesmond, D., J. Ogden, and C. Trzcinka. 1999. A New Estimate of Transaction Costs. Review of Financial Studies 12:1113-41.
36. Lesmond, D. 2005. Liquidity of Emerging Markets. Journal of Financial Economics 77:411-52.
37. Lia, S., L. Ng, and B. Zhang. 2009. Informed Trading around theWorld.Working Paper, Singapore Management University.
38. Patton, A., and M. Verardo. 2010. Does Beta Move with News? Firm-specific Information Flows and Learning about Profitability. Working Paper, Duke University.
39. Roll, R. 1988. R2. Journal of Finance 43:541-66.
40. Tetlock, P. 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. Journal of Finance 62:1139-68.
41. Tetlock, P., M. Saar-Tsechansky, and S. Macskassy. 2008. More ThanWords: Quantifying Language to Measure Firms' Fundamentals. Journal of Finance 63:1437-67.
42. Tetlock, P. 2010. Does Public Financial News Resolve Asymmetric Information? Review of Financial Studies 23:3520-57.
43. - 2011. All the News That's Fit to Reprint: Do Investors React to Stale Information? Review of Financial Studies 24:1481-512.