Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance

Elena Argentesi (), Helmut Lütkepohl () and Massimo Motta

No 5912, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.

Keywords: behavioural economics; empirical finance; newspapers; time-series econometrics (search for similar items in EconPapers)
JEL-codes: D80 G10 (search for similar items in EconPapers)
Date: 2006-11
View list of references View citations in EconPapers

Downloads: (external link)
http://www.cepr.org/pubs/dps/DP5912.asp (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Acquisition of information and share prices: An empirical investigation of cognitive dissonance (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:5912

Ordering information: This working paper can be ordered from
http://www.cepr.org/pubs/dps/DP5912.asp

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers
Address: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Series data maintained by ().