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Journalists and the Stock Market

Casey Dougal, Joseph Engelberg, Diego García and Christopher A. Parsons
The Review of Financial Studies
Vol. 25, No. 3 (March 2012), pp. 639-679
Stable URL: http://www.jstor.org/stable/41407843
Page Count: 41
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Journalists and the Stock Market
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Abstract

We use exogenous scheduling of Wall Street Journal columnists to identify a causal relation between financial reporting and stock market performance. To measure the media's unconditional effect, we add columnist fixed effects to a daily regression of excess Dow Jones Industrial Average returns. Relative to standard control variables, these fixed effects increase the R² by about 35%, indicating each columnist's average persistent "bullishness" or "bearishness." To measure the media's conditional effect, we interact columnist fixed effects with lagged returns. This increases explanatory power by yet another one-third, and identifies amplification or attenuation of prevailing sentiment as a tool used by financial journalists.

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