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

Massimo Motta (), , and Elena Argentesi ()
Authors registered in the RePEc Author Service: Helmut Lütkepohl

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; Time-series econometrics; Empirical finance; Newspapers (search for similar items in EconPapers)
JEL-codes: D80 G10 (search for similar items in EconPapers)
Date: 2006-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2010)
Journal Article: Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (2010)
Working Paper: Acquisition of information and share prices: An empirical investigation of cognitive dissonance (2006)
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