Does Media Coverage Affect Other Forms of Information Production?

Publish Date: Nov 1, 2019    Last Update: Nov 1, 2019


I find coverage from newswire media increases other forms of information production: investors gather more information from EDGAR and more equity analysts issue earnings forecasts. The results are most consistent with media coverage increases the information demand from investors who interpret media coverage as signals for higher return volatility and more retail trading. Equity analysts cater to such demand. Trading volumes significantly increase with media coverage, but price efficiency little changes, consistent with both informed and uninformed trading react to media and generate opposite effects. Overall, this paper provides one of the first evidence that different information intermediaries interact.

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Supplement Materials

Notes about the raw dataset

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