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Market Reactions to News Media

This paper examines how news media affects stock prices and trading volumes in comparison with other information intermediaries over five years from 1 January 2006 to 31 December 2010. Trading volume and price changes of 100 small-cap stocks are analysed after a story appears about them in the Wall Street Journal, and compared to the magnitude of changes when news about the stock appears in a corporate filing, press release, analysts’ recommendation or industry publication. The results support the hypothesis that media has the greatest effect on price changes expressed through abnormal returns and volatility and on trading volumes compared to the other information intermediaries in the analysis due to its attention-grabbing effects and the likelihood that private information is most often released through rumour in the media. It also indicates that private information can be released in the media before it is revealed on any other platforms.