Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147791
Authors: 
Ferretti, Riccardo
Cipollin, Andrea
Pattarin, Francesco
Year of Publication: 
2016
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 4 [Year:] 2016 [Issue:] 1 [Pages:] 1-16
Abstract: 
Our paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on the major national financial newspaper, the prices of value stocks did, on average, show a positive reaction. The price reaction was limited to small caps stocks and disappeared within three weeks. Over the period of analysis, we could not find any abnormal behaviour of the returns of small and value stocks on other European markets. These findings support the view that newspapers play a role in disseminating information to small investors and grabbing their attention, even if news are continuously realeased by faster and more sophisticated media.
Subjects: 
market efficiency
inattention
media and financial markets
event studies
wild boostrap
JEL: 
G14
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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