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Media Frenzies in Markets for Financial Information

Citations

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Cited by:

  1. Isaac Ehrlich & William A. Hamlen Jr. & Yong Yin, 2008. "Asset Management, Human Capital, and the Market for Risky Assets," Journal of Human Capital, University of Chicago Press, vol. 2(3), pages 217-262.
  2. Xu, Hedong & Tian, Cunzhi & Ye, Wenxing & Fan, Suohai, 2018. "Effects of investors’ power correlations in the power-based game on networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 424-432.
  3. Dragan Miljkovic & Daniel Mostad, 2007. "Obesity and low-carb diets in the united states: A herd behavior model," Agribusiness, John Wiley & Sons, Ltd., vol. 23(3), pages 421-434.
  4. Flandreau, Marc & Chavaz, Matthieu, 2016. "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers 11679, C.E.P.R. Discussion Papers.
  5. Skreta, Vasiliki & Veldkamp, Laura, 2009. "Ratings shopping and asset complexity: A theory of ratings inflation," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 678-695, July.
  6. David Russ, 2020. "Multidimensional Noise and Non-Fundamental Information Diversity," Working Papers 201, Bavarian Graduate Program in Economics (BGPE).
  7. Kwiek, Maksymilian, 2010. "Competition among mass media," Discussion Paper Series In Economics And Econometrics 1013, Economics Division, School of Social Sciences, University of Southampton.
  8. Veldkamp, Laura & Wolfers, Justin, 2007. "Aggregate shocks or aggregate information? Costly information and business cycle comovement," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 37-55, September.
  9. Fantazzini, Dean, 2016. "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, vol. 96(C), pages 383-396.
  10. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  11. Juanjuan Wang & Shujie Zhou & Wentong Liu & Lin Jiang, 2024. "An ensemble model for stock index prediction based on media attention and emotional causal inference," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1998-2020, September.
  12. Kurlat, Pablo & Veldkamp, Laura, 2015. "Should we regulate financial information?," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 697-720.
  13. J. Daniel Aromí, 2013. "Pre-play Research in a Model of Bank Runs," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 59, pages 57-86, January-D.
  14. Xiaofei Zhao, 2017. "Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings," Management Science, INFORMS, vol. 63(5), pages 1382-1404, May.
  15. Mondria, Jordi & Wu, Thomas, 2006. "The Puzzling Evolution of the Home Bias, Information Processing and Financial Openness," Santa Cruz Department of Economics, Working Paper Series qt4wg39067, Department of Economics, UC Santa Cruz.
  16. Brockman, Paul & Liebenberg, Ivonne & Schutte, Maria, 2010. "Comovement, information production, and the business cycle," Journal of Financial Economics, Elsevier, vol. 97(1), pages 107-129, July.
  17. Guomei Tang & Xueyong Zhang, 2021. "Media attention to locations and the cross‐section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2301-2336, April.
  18. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
  19. Dang, Tri Vi & Felgenhauer, Mike, 2012. "Information provision in over-the-counter markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 79-96.
  20. Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, Information Acquisition and Price Swings in Asset Markets," FMG Discussion Papers dp633, Financial Markets Group.
  21. Williams, Andrew, 2015. "A global index of information transparency and accountability," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 804-824.
  22. Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
  23. Vega, Clara, 2006. "Stock price reaction to public and private information," Journal of Financial Economics, Elsevier, vol. 82(1), pages 103-133, October.
  24. Kendall, Chad, 2018. "The time cost of information in financial markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 118-157.
  25. George-Marios Angeletos & Chen Lian, 2016. "Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination," NBER Working Papers 22297, National Bureau of Economic Research, Inc.
  26. Guo, Yifeng & Mota, Lira, 2021. "Should information be sold separately? Evidence from MiFID II," Journal of Financial Economics, Elsevier, vol. 142(1), pages 97-126.
  27. Niu, Zilong, 2013. "Relative Performance Concerns, Attention Allocation and Complementarities in Information Acquisition," MPRA Paper 51194, University Library of Munich, Germany, revised 02 Nov 2013.
  28. Haiyuan Yin & Xiangmiao Hu, 2024. "The impact of mainstream financial press attention on stock pricing efficiency in the China stock market," Bulletin of Economic Research, Wiley Blackwell, vol. 76(3), pages 773-796, July.
  29. Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021. "News-driven inflation expectations and information rigidities," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
  30. Tang, Ya, 2014. "Information disclosure and price discovery," Journal of Financial Markets, Elsevier, vol. 19(C), pages 39-61.
  31. Philippas, Dionisis & Dragomirescu-Gaina, Catalin & Goutte, Stéphane & Nguyen, Duc Khuong, 2021. "Investors’ attention and information losses under market stress," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1112-1127.
  32. Chavaz, Matthieu & Flandreau, Marc, 2015. "‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)," Bank of England working papers 555, Bank of England.
  33. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
  34. Nimark, Kristoffer P. & Pitschner, Stefan, 2019. "News media and delegated information choice," Journal of Economic Theory, Elsevier, vol. 181(C), pages 160-196.
  35. Cai, Zhifeng & Dong, Feng, 2023. "Public disclosure and private information acquisition: A global game approach," Journal of Economic Theory, Elsevier, vol. 210(C).
  36. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
  37. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
  38. Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
  39. George-Marios Angeletos & Karthik Sastry, 2019. "Inattentive Economies," NBER Working Papers 26413, National Bureau of Economic Research, Inc.
  40. Manzano, Carolina & Vives, Xavier, 2011. "Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 346-369.
  41. Elizabeth Demers & Clara Vega, 2008. "Soft information in earnings announcements: news or noise?," International Finance Discussion Papers 951, Board of Governors of the Federal Reserve System (U.S.).
  42. Alberto Dell'Acqua & Francesco Perrini & Stefano Caselli, 2010. "Conference Calls and Stock Price Volatility in the Post†Reg FD Era," European Financial Management, European Financial Management Association, vol. 16(2), pages 256-270, March.
  43. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9164, University Library of Munich, Germany.
  44. García, Diego & Vanden, Joel M., 2009. "Information acquisition and mutual funds," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1965-1995, September.
  45. Andrew Williams, 2014. "The effect of transparency on output volatility," Economics of Governance, Springer, vol. 15(2), pages 101-129, May.
  46. Muendler, Marc-Andreas, 2005. "Rational Information Choice in Financial Market Equilibrium," University of California at San Diego, Economics Working Paper Series qt5q4764nj, Department of Economics, UC San Diego.
  47. Jennifer La'O & George-Marios Angeletos, 2009. "Dispersed Information over the Business Cycle: Optimal Fiscal and Monetary Policy," 2009 Meeting Papers 221, Society for Economic Dynamics.
  48. Mondria, Jordi & Wu, Thomas, 2010. "The puzzling evolution of the home bias, information processing and financial openness," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 875-896, May.
  49. Gadi Barlevy & Pietro Veronesi, 2007. "Information acquisition in financial markets: a correction," Working Paper Series WP-07-06, Federal Reserve Bank of Chicago.
  50. Xu, Hedong & Tian, Cunzhi & Xiao, Xinrong & Fan, Suohai, 2018. "Evolutionary investors’ power-based game on networks," Applied Mathematics and Computation, Elsevier, vol. 330(C), pages 125-133.
  51. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
  52. Keyi Zhang & Ramazan Gençay, 2019. "Mutual Fund Performance In Developing And Advanced World Networks," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(02), pages 399-421, March.
  53. Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015. "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 95-115.
  54. Jennifer La'O, 2010. "Collateral Constraints and Noisy Fluctuations," 2010 Meeting Papers 780, Society for Economic Dynamics.
  55. Vlastakis, Nikolaos & Markellos, Raphael N., 2012. "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1808-1821.
  56. Raffi Indjejikian & Hai Lu & Liyan Yang, 2014. "Rational Information Leakage," Management Science, INFORMS, vol. 60(11), pages 2762-2775, November.
  57. Goldstein, Itay & Ozdenoren, Emre & Yuan, Kathy, 2013. "Trading frenzies and their impact on real investment," Journal of Financial Economics, Elsevier, vol. 109(2), pages 566-582.
  58. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  59. Cai, Zhifeng, 2019. "Dynamic information acquisition and time-varying uncertainty," Journal of Economic Theory, Elsevier, vol. 184(C).
  60. Marmora, Paul, 2021. "Individual investor ownership and the news coverage premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 494-507.
  61. Jordi Mondria & Climent Quintana‐Domeque, 2013. "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, vol. 123(568), pages 429-454, May.
  62. George-Marios Angeletos & Jennifer La'O, 2010. "Noisy Business Cycles," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 319-378, National Bureau of Economic Research, Inc.
  63. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2012. "Information Demand and Agriculture Commodity Prices," 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria 144973, International European Forum on System Dynamics and Innovation in Food Networks.
  64. Buehlmaier, Matthias M. M. & Zechner, Josef, 2016. "Financial media, price discovery, and merger arbitrage," CFS Working Paper Series 551, Center for Financial Studies (CFS).
  65. Yuriy Gorodnichenko, 2008. "Endogenous information, menu costs and inflation persistence," NBER Working Papers 14184, National Bureau of Economic Research, Inc.
  66. Laura Veldkamp & Pablo Kurlat, 2011. "De-regulating Markets for Financial Information," 2011 Meeting Papers 1269, Society for Economic Dynamics.
  67. Hasler, Michael & Ornthanalai, Chayawat, 2018. "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 106-123.
  68. Agnes Bialecki & Eleonore Haguet & Gabriel Turinici, 2014. "Existence of an Equilibrium for Lower Semicontinuous Information Acquisition Functions," Post-Print hal-00723189, HAL.
  69. Avdiu, Besart & Gruhle, Tobias, 2022. "Contagion and information frictions in emerging markets: The role of joint signals," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 147-173.
  70. Christian Hellwig & Sebastian Kohls & Laura Veldkamp, 2012. "Information Choice Technologies," American Economic Review, American Economic Association, vol. 102(3), pages 35-40, May.
  71. Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021. "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, vol. 131(C).
  72. Bonsall, Samuel B. & Green, Jeremiah & Muller, Karl A., 2020. "Market uncertainty and the importance of media coverage at earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 69(1).
  73. Lubomir P. Litov & Patrick Moreton & Todd R. Zenger, 2012. "Corporate Strategy, Analyst Coverage, and the Uniqueness Paradox," Management Science, INFORMS, vol. 58(10), pages 1797-1815, October.
  74. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
  75. George-Marios Angeletos & Guido Lorenzoni & Alessandro Pavan, 2010. "Beauty Contests and Irrational Exuberance: A Neoclassical Approach," NBER Working Papers 15883, National Bureau of Economic Research, Inc.
  76. Spyros Pagratis, 2005. "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England.
  77. Nicholas M. Guest, 2021. "The Information Role of the Media in Earnings News," Journal of Accounting Research, Wiley Blackwell, vol. 59(3), pages 1021-1076, June.
  78. Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012. "Internet, noise trading and commodity prices," Departmental Working Papers 2012-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  79. Veldkamp, Laura, 2006. "Uncertainty, policy ineffectiveness and long stagnation of the macroeconomy," Japan and the World Economy, Elsevier, vol. 18(3), pages 273-277, August.
  80. Bang Dang Nguyen, 2015. "Is More News Good News? Media Coverage of CEOs, Firm Value, and Rent Extraction," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-38, December.
  81. Dugast, Jérôme & Foucault, Thierry, 2018. "Data abundance and asset price informativeness," Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
  82. Arya, Anil & Mittendorf, Brian, 2005. "Using disclosure to influence herd behavior and alter competition," Journal of Accounting and Economics, Elsevier, vol. 40(1-3), pages 231-246, December.
  83. Russ, David, 2022. "Multidimensional noise and non-fundamental information diversity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  84. Mark Bowden & Stuart McDonald, 2008. "The Impact of Interaction and Social Learning on Aggregate Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 289-306, April.
  85. Giovanni Cespa & Thierry Foucault, 2014. "Sale of Price Information by Exchanges: Does It Promote Price Discovery?," Management Science, INFORMS, vol. 60(1), pages 148-165, January.
  86. Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017. "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 54-67.
  87. Bignon, Vincent & Miscio, Antonio, 2010. "Media bias in financial newspapers: evidence from early twentieth-century France," European Review of Economic History, Cambridge University Press, vol. 14(3), pages 383-432, December.
  88. Guido Lorenzoni & George-Marios Angeletos, 2010. "Price Making Intermediation," 2010 Meeting Papers 963, Society for Economic Dynamics.
  89. Buchen, Teresa, 2014. "News Media, Common Information, and Sectoral Comovement," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100391, Verein für Socialpolitik / German Economic Association.
  90. Avdiu, Besart & Gruhle, Tobias, 2018. "Contagion and information frictions in emerging markets: the role of joint signals," MPRA Paper 84872, University Library of Munich, Germany.
  91. Sangiorgi, Francesco & Spatt, Chester, 2017. "The Economics of Credit Rating Agencies," Foundations and Trends(R) in Finance, now publishers, vol. 12(1), pages 1-116, December.
  92. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
  93. Badarinza, Cristian & Gross, Marco, 2011. "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series 1407, European Central Bank.
  94. Huang, Wenxuan & Xu, Weidong & Li, Donghui & Zhao, Ling & Yang, Shijie, 2024. "Does market misvaluation drive cross-border M&As?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  95. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness and welfare," LSE Research Online Documents on Economics 118935, London School of Economics and Political Science, LSE Library.
  96. Jerry T. Parwada & Joey W. Yang, 2009. "Information Diffusion among International Fund Managers: Multicountry Evidence," Financial Management, Financial Management Association International, vol. 38(4), pages 817-835, December.
  97. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
  98. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness, and welfare," Journal of Economic Theory, Elsevier, vol. 177(C), pages 558-593.
  99. Avdis, Efstathios, 2016. "Information tradeoffs in dynamic financial markets," Journal of Financial Economics, Elsevier, vol. 122(3), pages 568-584.
  100. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
  101. Basu, Kaushik & Sun, Haokun, 2022. "The power and influence of rating agencies with insights into their misuse," Economic Modelling, Elsevier, vol. 109(C).
  102. Boyan Jovanovic & Peter L. Rousseau, 2004. "Interest rates and the timing of new production," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 28(Q IV), pages 2-11.
  103. Manela, Asaf, 2014. "The value of diffusing information," Journal of Financial Economics, Elsevier, vol. 111(1), pages 181-199.
  104. Bernard, Darren & Blackburne, Terrence & Thornock, Jacob, 2020. "Information flows among rivals and corporate investment," Journal of Financial Economics, Elsevier, vol. 136(3), pages 760-779.
  105. Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  106. Huang, Wenxuan & Xu, Weidong & Gao, Xin & Li, Donghui & Fu, Wentao, 2023. "Terrorist attacks and CEO compensation: UK evidence," Research in International Business and Finance, Elsevier, vol. 64(C).
  107. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
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