Relations between media publicity, stock returns and trading volume: Empirical evidence for three Finnish companies listed on NASDAQ OMX Helsinki

No Thumbnail Available

URL

Journal Title

Journal ISSN

Volume Title

School of Business | Master's thesis
Ask about the availability of the thesis by sending email to the Aalto University Learning Centre oppimiskeskus@aalto.fi

Date

2016

Major/Subject

Laskentatoimi
Accounting

Mcode

Degree programme

Language

en

Pages

77

Series

Abstract

This study examines the relations between companies' media publicity, daily abnormal stock returns, and trading volume. The topic can be seen as one aspect of a company valuation problem, and it focuses especially on the role of information disclosure in market efficiency. Internationally, the research question on the association between media publicity and stock market movements has gained popularity during the last years, and research results have been encouraging. While significant correlations between daily stock data and media coverage have been reported in several different studies, similar research has not yet been conducted using data on Finnish companies and Finnish news channels. Availability of data can be seen as one major explanation for the research gap. The data for this research is provided by a Finnish business intelligence company, and it includes all relevant editorial online, print, TV and radio hits for selected companies. Using OLS and quantile regressions, this study finds significant positive correlation between media publicity and daily stock market movements. It is shown that on a daily basis, non-neutral online media coverage that focuses on corporate financial events is positively associated with same day trading volume and abnormal stock returns.

Description

Keywords

media publicity, media sentiment, abnormal daily stock returns, trading volume, media hit, enterprise value

Other note

Citation