Sunday, June 20, 2010

SSRN-CEO Interviews on CNBC by Felix Meschke, Young Han Kim

Definitely will be mentioned in class. Up on anticipation, then reverses.

SSRN-CEO Interviews on CNBC by Felix Meschke, Young Han Kim:
"This paper investigates whether media attention systematically affects stock prices by analyzing price and volume reactions to 6,937 CEO interviews that were broadcast on CNBC between 1997 and 2006. We document a significant positive abnormal return of 162 basis points accompanied by abnormally high trading volume over the [-2, 0] trading day window. After the interviews, prices exhibit strong mean reversion; over the following ten trading days, the cumulative abnormal return is negative 108 basis points. The pattern is robust even after controlling for the announcements of major corporate events and surrounding news articles. We also find that one standard deviation larger abnormal viewership is associated with a 0.5% higher event day abnormal return and 0.5% larger post-event reversals. Furthermore, we find evidence that enthusiastic individual investors are more likely to trade purely based on CNBC interviews not confounded by any events or news articles. These price and volume dynamics suggest that the financial news media is able to generate transitory buying pressure by catching the attention of enthusiastic individual investors.

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