Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance
AbstractThis paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales. Copyright 2009 The Authors. Journal Compilation Verein für Socialpolitik and Blackwell Publishing Ltd. 2009.
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Bibliographic InfoArticle provided by Verein für Socialpolitik in its journal German Economic Review.
Volume (Year): 11 (2010)
Issue (Month): (08)
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- Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006. "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers ECO2006/32, European University Institute.
- Argentesi, Elena & Lütkepohl, Helmut & Motta, Massimo, 2006. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," CEPR Discussion Papers 5912, C.E.P.R. Discussion Papers.
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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