Workshop Series: Sarah Zechman
We use the disclosure of insiders' trades to investigate whether the way in which news is disseminated by the media affects how securities markets respond to news. To do this, we utilize recent changes in disclosure rules governing insider trades and an exogenous change in media coverage to cleanly identify media effects. Using high-resolution intraday data and a plausibly exogenous change in media coverage, we find clear effects of media disclosure in price and volume responses to news. These results help to resolve open questions regarding the importance of investor inattention and why apparently "second hand" news affects securities prices.