An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan
An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan
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DOI：
10.1016/j.pacfin.2013.02.003
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发表时间：
2013-09-01
影响因子：
4.6
通讯作者：
Aman, Hiroyuki
中科院分区：
文献类型：
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作者：
Aman, Hiroyuki
我们试图通过使用日本股票市场和报纸文章的数据来确定股票价格暴跌和跳跃与媒体报道之间可能的联系。我们的证据清楚地表明，坠机频率随着媒体报道及其季节性集中而增加。这一重要发现支持了这样一种观点，即媒体对一家公司的密集报道会引发市场对公司新闻的极大反应。然而，我们没有发现媒体报道对跳槽频率有正向影响的证据。此外，通过使用另一种衡量崩溃回报规模的方法，我们证实了媒体报道对崩溃的影响越来越大。我们还发现，媒体效应是由市场反应引起的，特别是对官方披露信息（如会计结果公告）的新闻。(C) 2013 Elsevier B.V.版权所有
We attempt to identify a possible linkage between stock price crashes and jumps and media coverage by using data from Japanese stock markets and newspaper articles. Our evidence clearly indicates that crash frequency increases with media coverage and its seasonal concentration. This key finding supports the notion that intensive media reports on a firm provoke extremely large reactions in the market to corporate news. However, we find no evidence that media coverage has a positive impact on jump frequency. Further, by using an alternative measure of the scale of crash returns, we confirm the increasing effect of media coverage on crashes. We also find that the media effect is caused by market reactions, particularly to news on official disclosure information such as announcements of accounting results. (C) 2013 Elsevier B.V. All rights reserved.