Sell the rumour, buy the fact?

Marshall, Ben R.; Visaltanachoti, Nuttawat; Cooper, Genevieve

doi:10.1111/j.1467-629x.2012.00496.x

Cited by 11 publications

(1 citation statement)

References 18 publications

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“…Another remarkable anecdote studied by Carvalho, Klagge & Moench (2011) and Marshall, Visaltanachoti & Cooper (2014) highlights the influence of media reporting on investor beliefs. In 2008, a six-year-old news story about United Airlines' 2002 bankruptcy mistakenly appears on several websites as news.…”

Section: Case Studiesmentioning

confidence: 99%

Information Transmission in Finance

Tetlock

2014

Annu. Rev. Financ. Econ.

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Because theories in finance rely critically on what agents know, designing powerful tests of these theories requires measuring information transmission. In this review, I characterize the rapidly growing subfield directly analyzing information in financial markets. Its three hallmarks are the examination of (a) a wide array of informative events, (b) different mechanisms for transmitting information, and (c) measures of information content based on nonnumeric information. Recent research directly measures flows of information to shed light on diverse phenomena in asset pricing, such as market reactions to news and nonnews, investors’ portfolio choices, and mutual fund flows and returns, and in corporate finance, such as mergers and acquisitions, initial public offering (IPO) underpricing, and executive compensation. Continued improvements in access to data and computing power are likely to propel this line of research for years to come.

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Section: Case Studiesmentioning

confidence: 99%