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

Julian Ashwin

Journal of Financial Markets, 2024, vol. 69, issue C

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 (search for similar items in EconPapers)
JEL-codes: C55 G14 G40 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000144

DOI: 10.1016/j.finmar.2024.100896

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