Beyond Attention: the Causal Effect of Media on Information Production

Publish Date: Nov 4, 2018    Last Update: Nov 4, 2018


This paper shows that media coverage causes institutional investors to gather more information and analysts to produce more earning forecasts. I exploit random variation in the visual salience of corporate press releases to financial journalists to proxy for media coverage. Doubling the amount of media coverage increases the number of EDGAR searches by 37% and the number of analyst forecasts by 78% in a two-day period. The evidence is consistent with the theories of rational attention allocation: investors allocate resources to media-covered events as the ex-ante variances of returns are higher. Analysts cater to the increased information demand by responding to media-reported events. The results suggest that different information channels do interact, and financial media complements other channels.

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Supplement Materials

Notes about the raw dataset

  1. RavenPack Data Note .
  2. SEC EDGAR Data Note .


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