همزمانی قیمت سهام و پوشش رسانه ای
Abstract
1- Introduction
2- Hypothesis development
3- Research design
4- Empirical results
5- Conclusion
References
Abstract
This paper investigates the relation between the extent of media coverage and stock price synchronicity and whether this relation varies across different institutional infrastructures. We document three notable findings. First, media coverage is negatively associated with stock price synchronicity, suggesting that the media facilitates the incorporation of firm-specific information into stock prices. Second, a firm's information environment and corporate governance play a moderating role in the relation between media coverage and the synchronicity of stock prices. Third, the synchronicity-reducing effect of media coverage is stronger in countries with weak institutional infrastructures. Overall, our study suggests that media coverage is an important determinant of stock price synchronicity.
Introduction
The role of the media in the economy has been debated for a long time. On the one hand, by uncovering new insights about firms or disseminating firm-specific news stories to a broad audience, the media helps reduce information asymmetry and thus affects security pricing (e.g., Fang & Peress, 2009; Tetlock, 2010, 2011). Furthermore, the media helps improve corporate governance by undertaking original investigation and bringing fraud to the public's attention (Miller, 2006) or by aligning managers' and shareholders' interests (Liu & McConnell, 2013). On the other hand, the media can be harmful if it delivers fake news, as once was claimed by President Trump.1 Indeed, Ahern and Sosyura (2014) document that media news can be manipulated by firms to influence their stock prices. Taken together, it therefore remains unclear whether greater media news coverage is associated with a greater or lesser amount of firm-specific information that is incorporated into stock prices. This study attempts to fill this gap. To measure the extent to which the price of a stock is able to incorporate firm-specific information, we follow prior studies and use stock price synchronicity, a measure of the degree to which individual stocks co-move with the market, as a summary measure. A considerable body of research establishes that the level of stock price synchronicity depends on the relative amount of firm-specific and market-level information being capitalized into stock prices (Dang, Moshirian, & Zhang, 2015; Fernandes & Ferreira, 2008; Hutton, Marcus, & Tehranian, 2009; Jin & Myers, 2006; Morck, Yeung, & Yu, 2000; among others). A higher synchronicity of stock prices indicates that the stock prices reflect more market-wide information relative to firm-specific information, or less informative stock prices. Using media news data from RavenPack for a sample of firms from 40 countries over the period of 2000–2016, we examine whether media coverage is related to stock price synchronicity and whether this association varies across different country-level institutional structures. This international setting allows us to exploit the rich variation in media coverage and institutional infrastructures across countries to better understand the relation between media coverage and stock price synchronicity and to answer the question of whether country-level institutional characteristics matter for this relation.