Media Coverage and Macroeconomic Information Processing
This paper investigates how media coverage influences macroeconomic information processing at the bond market. I provide evidence that a high media coverage of an economic topic increases investor attention prior to the release of the corresponding economic indicator: High media coverage of the business cycle leads to a stronger market reaction to the release of gross domestic product, industrial production and IFO business index than low media coverage. High media coverage of the price level increases the market reaction to the release of producer and consumer price index than low media coverage. High media coverage of unemployment leads to a stronger market reaction to the release of the unemployment rate than low media coverage.
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| Length: | 31 pages |
| Date of creation: | Mar 2007 |
| Handle: | RePEc:hum:wpaper:sfb649dp2007-011 |
| Contact details of provider: | Postal: Spandauer Str. 1,10178 Berlin Phone: +49-30-2093-5708 Fax: +49-30-2093-5617 Web page: http://sfb649.wiwi.hu-berlin.de Email: More information through EDIRC
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References listed on IDEAS
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- Norbert Funke & Akimi Matsuda, 2006.
"Macroeconomic News and Stock Returns in the United States and Germany,"
German Economic Review,
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- Nikolaus Hautsch & Dieter Hess, 2004. "Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery," FRU Working Papers 2004/06, University of Copenhagen. Department of Economics. Finance Research Unit.
- Ray C. Fair, 2002. "Events That Shook the Market," The Journal of Business, University of Chicago Press, vol. 75(4), pages 713-732, October.
- Ray C. Fair, 2000. "Events that Shook the Market," Yale School of Management Working Papers ysm149, Yale School of Management.
- Ray Fair, 2003. "Events that Shook the Market," Yale School of Management Working Papers ysm307, Yale School of Management.
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-950, July.
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- Matthew Gentzkow & Jesse Shapiro, 2005. "Media Bias and Reputation," NBER Working Papers 11664, National Bureau of Economic Research, Inc.
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
- Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
- Gur Huberman, 2001. "Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar," Journal of Finance, American Finance Association, vol. 56(1), pages 387-396, 02.
- McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707. Full references (including those not matched with items on IDEAS)
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