Financial news media and volatility: Is there more to newspapers than news?

Julian Ashwin

doi:10.1016/j.finmar.2024.100896

Financial news media and volatility: Is there more to newspapers than news?

Julian Ashwin^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm's intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.

Original language	English
Article number	100896
Journal	Journal of Financial Markets
Volume	69
Early online date	1 Jan 2024
DOIs	https://doi.org/10.1016/j.finmar.2024.100896
Publication status	Published - Jun 2024

JEL classifications

g14 - "Information and Market Efficiency; Event Studies"
g40 - Behavioral Finance: General
c55 - Large Data Sets: Modeling and Analysis

Keywords

asset pricing
volatility
behavioral finance
news media
text analysis

Access to Document

10.1016/j.finmar.2024.100896Licence: CC BY

Cite this

@article{11acb71a308642f3acbb8fd48dc03e0f,

title = "Financial news media and volatility: Is there more to newspapers than news?",

abstract = "Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm's intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.",

keywords = "asset pricing, volatility, behavioral finance, news media, text analysis",

author = "Julian Ashwin",

note = "Funding Information: I would like to thank Paul Beaudry, Joao Cocco, Artur Doshchyn, Alex Edmans, Martin Ellison, Roger Farmer, Stephen Hansen, Howard Kung, Michael McMahon and Andrew Scott for valuable feedback, as well as the editor and anonymous referee for comments that considerably improved the paper. I would also like to thank participants at the IEAP 2022 workshop, QMUL Ph.D. 2022 conference and the Bamberg behavioral Macroeconomics 2022 workshop. This research was made possible by support from the Economic and Social Research Council of the U.K. , grant number 1638211 , and from the AQR Asset Management Institute at London Business School . data source: uses data from Lexis Nexus, Factiva, LSEG and Eikon. Code is available here: https://github.com/julianashwin/Media\_volatility.",

year = "2024",

month = jun,

doi = "10.1016/j.finmar.2024.100896",

language = "English",

volume = "69",

journal = "Journal of Financial Markets",

issn = "1386-4181",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Financial news media and volatility

T2 - Is there more to newspapers than news?

AU - Ashwin, Julian

N1 - Funding Information: I would like to thank Paul Beaudry, Joao Cocco, Artur Doshchyn, Alex Edmans, Martin Ellison, Roger Farmer, Stephen Hansen, Howard Kung, Michael McMahon and Andrew Scott for valuable feedback, as well as the editor and anonymous referee for comments that considerably improved the paper. I would also like to thank participants at the IEAP 2022 workshop, QMUL Ph.D. 2022 conference and the Bamberg behavioral Macroeconomics 2022 workshop. This research was made possible by support from the Economic and Social Research Council of the U.K. , grant number 1638211 , and from the AQR Asset Management Institute at London Business School . data source: uses data from Lexis Nexus, Factiva, LSEG and Eikon. Code is available here: https://github.com/julianashwin/Media_volatility.

PY - 2024/6

Y1 - 2024/6

N2 - Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm's intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.

AB - Does media coverage of a firm have a causal effect on the volatility of its stock price and, if so, is this of aggregate importance? I identify a robust link between coverage in the Financial Times and a firm's intraday stock price volatility. This effect is not driven by persistence in volatility or anticipation of future newsworthy events, but is explained by an increase in trading volume, supporting a salience interpretation. The effect spills over into firms related by the structure of the production network, but does not affect the aggregate level of volatility.

KW - asset pricing

KW - volatility

KW - behavioral finance

KW - news media

KW - text analysis

U2 - 10.1016/j.finmar.2024.100896

DO - 10.1016/j.finmar.2024.100896

M3 - Article

SN - 1386-4181

VL - 69

JO - Journal of Financial Markets

JF - Journal of Financial Markets

M1 - 100896

ER -

Financial news media and volatility: Is there more to newspapers than news?

Abstract

JEL classifications

Keywords

Access to Document

Fingerprint

Cite this