Volatility and Public Information Flows: Evidence from Disclosure and Media Coverage in the Japanese Stock Market
Volatility and Public Information Flows: Evidence from Disclosure and Media Coverage in the Japanese Stock Market
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DOI：
10.2139/ssrn.2220603
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发表时间：
2015-11
期刊：
影响因子：
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通讯作者：
Hiroyuki Aman;H. Moriyasu
中科院分区：
文献类型：
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作者：
Hiroyuki Aman;H. Moriyasu
本研究探讨了公共信息流对股票收益总波动率和特质波动率（IDV）的影响，采用公司披露和新闻媒体报道，对日本广泛的公司进行了调查。我们认为，公司发布的信息披露和新闻媒体发布的新闻报道对波动性有不同的影响。具体而言，披露信息的到来往往会增加总波动性，这与不确定性产生效应一致，而媒体报道则会降低波动性，这与媒体报道为企业解决信息不确定性的概念一致。对于IDV来说，这两种类型的新闻都倾向于降低价格同步性，这表明公共信息流主要有助于公司特定信息的资本化。
This study explores the impact of public information flows on the total volatility of stock returns and idiosyncratic volatility (IDV) using corporate disclosures and press media coverage for a broad cross-section of companies in Japan. We argue that firm-released disclosures and news reports released by the press have disparate effects on volatility. Specifically, disclosure information arrivals tend to increase total volatility, consistent with the uncertainty-generating effect, whereas media coverage reduces volatility, consistent with the notion that media reports resolve information uncertainty for firms. For IDV, both types of news tend to mitigate price synchronicity, suggesting that public information flows mainly contribute to the capitalization of firm-specific information on prices overall.