Media Coverage and Stock Returns on the London Stock Exchange, 1825–70*

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may Abstract:News media plays an important role in modern financial markets. In this paper, we analyse the role played by the news media in an historical financial market. Using The Times's coverage of companies listed on the London stock market between 1825 and 1870, we examine the determinants of media coverage in this era and whether there was a media discount. Our main finding is that a media discount only manifests itself after the mid-1840s and that the introduction of arm's-length ownership along with markedly increased market participation was the main reason for the emergence of this discount.

Media attention and the volatility effect

“…Welpe (2014) find that the volume of stock tweets is positively related to volatility and trading volume. On the other hand, Turner, Ye, and Walker (2018) find no relation between news and volatility for a sample of U.K. stocks over the period 1825 to 1870.…”

News Media and Investor Sentiment over the Long Run

“…This paper is part of a growing literature which examines the role of the press in financial markets. This literature can be categorized into distinct areas, namely the role of the press as a financial watchdog (Dyck et al, 2008;Taylor, 2012); the role of the press as information providers to investors (Fang and Peress, 2009;Engelberg and Parsons, 2011;Griffin et al, 2011;Turner et al, 2017); the role of bias and incentives in the financial press and financial reporting (Dyck and Zingales, 2003;Bignon and Miscio, 2010); the role of the media in financial bubbles or speculation (Shiller, 2000;Huberman and Regev, 2001;Bhattacharya et al, 2009;Campbell et al, 2012); and the use of media content as a way of quantifying animal spirits or sentiment in the stock and housing markets (Tetlock, 2007;Dougal et al, 2012;García, 2013;Soo, 2013;Walker, 2014;Kräussl and Mirgorodskaya, 2017). The part of the literature which this paper is most closely related to is the sentiment work of Tetlock (2007) and García (2013).…”

Media attention to locations and the cross‐section of stock returns

“…Consistent with this prediction, Fang and Peress (2009) document that stocks not covered by media earn higher future returns than stocks that are intensively covered. Similarly, Turner et al (2018) find that a return premium for companies not covered by the press exists after the mid-1840s on the London stock market.…”

“…Similarly, Turner et al . (2018) find that a return premium for companies not covered by the press exists after the mid‐1840s on the London stock market.…”