《新闻传播学相关参考资料合集》在新闻媒体上的价格影响和非经济出版物.pdf_大学文库

News events and Price movements international payment systems operational and avoid an imminent financial collapse. Interest rates are lowered, and substantial financial aid is dispensed to protect the industries directly concerned from the worst Markets continue to vibrate for quite some time from the psychological shock of the terrorist attacks. In fact. the financial fallout at the target of the attack, Wall Street, is relatively small in comparison: Stockbroking does not even start on September 1 lth and remains closed for several days, which pre- vents immediate shock reactions. Hardly two months later, and thus much faster than many other international stock exchanges in regions far away from the explosion, the U.S.-indices reach the level they had before the attacks. 4 But most other international indices recover in the medium term as well. It seems as if the serious price losses immediately after the attacks, particularly in Europe, were overreactions triggered by the shock Undoubtedly, it is the incredibility of the events as such" that causes these overreactions. However, it is not physical violence alone that defines the sig- nificance of this world event, but also its psychological multiplication through simultaneous global broadcasting in the mass media. The whole world watching, knowing that the rest of the world is watching. Accordi tions are vehement. Although it is impossible to separate the event itself from its media broadcast- the two are inseparably intertwined -, there is a lot to be said for the fact that the specific quality of the cataclysm is due to its deliber- ate realization as a media event. In view of this, it is appropriate to assume an autonomous share of the media in these(over reactions 1 Introduction a whole industry lives on it: Investment magazines, financial networks and business papers, even the general daily press, convey the impression that in- formation selected and presented by them permits conclusions about future movements of the stock markets The media as well as certain market observ ers seem to maintain that business news circulating in public have a signifi- cant, economically realizable and relevant information content. Some even suppose that business news provoke systematic price movements in the finan-

News Events and Price Movements international payment systems operational and avoid an imminent financial collapse. Interest rates are lowered, and substantial financial aid is dispensed to protect the industries directly concerned from the worst.3 Markets continue to vibrate for quite some time from the psychological shock of the terrorist attacks. In fact, the financial fallout at the target of the attack, Wall Street, is relatively small in comparison: Stockbroking does not even start on September 11th and remains closed for several days, which prevents immediate shock reactions. Hardly two months later, and thus much faster than many other international stock exchanges in regions far away from the explosion, the U.S.-indices reach the level they had before the attacks.4 But most other international indices recover in the medium term as well. It seems as if the serious price losses immediately after the attacks, particularly in Europe, were overreactions triggered by the shock. Undoubtedly, it is the incredibility of the events “as such” that causes these overreactions. However, it is not physical violence alone that defines the significance of this world event, but also its psychological multiplication through simultaneous global broadcasting in the mass media. The whole world is watching, knowing that the rest of the world is watching. Accordingly, reactions are vehement. Although it is impossible to separate the event itself from its media broadcast – the two are inseparably intertwined –, there is a lot to be said for the fact that the specific quality of the cataclysm is due to its deliberate realization as a media event.5 In view of this, it is appropriate to assume an autonomous share of the media in these (over)reactions. 1. Introduction A whole industry lives on it: Investment magazines, financial networks and business papers, even the general daily press, convey the impression that information selected and presented by them permits conclusions about future movements of the stock markets. The media as well as certain market observers seem to maintain that business news circulating in public have a significant, economically realizable and relevant information content. Some even suppose that business news provoke systematic price movements in the finan- 4

News events and Price movements cial markets. As it seems, the media are not just observers, they are movers of markets Knowing what will be importantis the slogan of the German edition of the Financial Times. Facts make money" explains the German investment magazine Focus Money. Profit from it' promises US finance television CNBC. Such slogans nurture the idea of news producers as visionary fore- casters or powerful movers of markets. It is in the medias commercial interest to convince the public that their news move stock prices. For the higher the potential of business coverage to forecast or influence stock prices, the higher the benefit that can be expected from intensive media consumption. This again increases the incentive to buy such media products Actual or supposed market manipulations also nurture the idea of the media as influential movers of stock prices: In numerous cases, business journalists or their contact persons in the industry were accused of having influenced in- vestment behavior through well-directed publications of investment tips and exaggerated forecasts of price movements in order to manipulate the prices of certain market values. For some time, such attempts of instrumentalizing the press and television became the content of media coverage themselves. Sup- posed manipulation attempts in financial shows on television received partici lar attention.& On the other hand, many investors had to realize with the breakdown of the New Economy that the potential of the business media to move stock prices is a lot smaller than individual cases of manipulation seem to suggest: While the media were still dreaming of a permanent stock market upswing, the financial markets crashed and shattered the hopes of many investors. But the journalists stuck to their positive message: Even in the middle of the stock market crisis, the number of buy recommendations by far exceeded the number of sell rec- ommendations. Obviously, the business media neither serve as an early warn- ing system nor as reliable forecasters or makers of stock prices. Is the pub lished information not relevant to stock prices after all? Despite self-confident statements of certain media or finance professionals, the actual quality of the interaction of markets and the media is far from being established. On the part of finance studies, the topic has received a lot of at

News Events and Price Movements cial markets. As it seems, the media are not just observers, they are movers of markets. “Knowing what will be important” is the slogan of the German edition of the Financial Times. “Facts make money” explains the German investment magazine Focus Money. “Profit from it” promises US finance television CNBC. Such slogans nurture the idea of news producers as visionary forecasters or powerful movers of markets. It is in the media’s commercial interest to convince the public that their news move stock prices. For the higher the potential of business coverage to forecast or influence stock prices, the higher the benefit that can be expected from intensive media consumption. This again increases the incentive to buy such media products. Actual or supposed market manipulations also nurture the idea of the media as influential movers of stock prices: In numerous cases, business journalists or their contact persons in the industry were accused of having influenced investment behavior through well-directed publications of investment tips and exaggerated forecasts of price movements in order to manipulate the prices of certain market values.6 For some time, such attempts of instrumentalizing the press and television became the content of media coverage themselves.7 Supposed manipulation attempts in financial shows on television received particular attention.8 On the other hand, many investors had to realize with the breakdown of the New Economy that the potential of the business media to move stock prices is a lot smaller than individual cases of manipulation seem to suggest: While the media were still dreaming of a permanent stock market upswing, the financial markets crashed and shattered the hopes of many investors. But the journalists stuck to their positive message: Even in the middle of the stock market crisis, the number of buy recommendations by far exceeded the number of sell recommendations.9 Obviously, the business media neither serve as an early warning system nor as reliable forecasters or makers of stock prices. Is the published information not relevant to stock prices after all? Despite self-confident statements of certain media or finance professionals, the actual quality of the interaction of markets and the media is far from being established. On the part of finance studies, the topic has received a lot of at- 5

News events and Price movements tention. mainly in connection with the question how exactly information is processed in the financial markets. This is based on a very narrow definition of"information content"that reduces the term to news contents which pro- voke prompt stock price movements. Media studies has mostly analyzed the effects of business news from the point of view of a supposed influence on voters' behavior, thus in a political context, if at all. So far, the interaction of markets and the media has not been studied by this discipline In the following, the results of empirical research on the functioning of data processing in the financial markets will be extracted and examined in a quali- tative meta-analysis. The goal is to understand the immediate effects of the media on financial markets. As a synthesis of the existing material will show, a long-term analysis reveals recurring patterns. There is a relationship between markets and the media the media can have an effect on the markets. However here is only a limited possibility of summarizing how this happens in univer sally applicable terms. The following questions are to be answered: Do news published in the mass media have an immediate effect on financial markets? And if yes, in which way? 2. State of the art: Random walks"and "Irrational Exuberance Do news have price effects on the financial markets or not? This question is part of a central and heated debate in economics which is far from being se tled. In numerous studies, exponents of empirical capital market research have come to the conclusion that new information is reflected in stock prices quickly and without considerable delay. This is why they call markets"effi cient"and consider news to be generally ineffective. Advocates of Beha- vioral Finance, however, document multiple cases of delayed price reactions after the arrival of new information and therefore describe the markets as "in- efficient". They consider the news in the media to be potentially effective The theoretical premises of the two approaches and their implications could hardly be more different: As Paul Samuelson(1965)explains in his classic text Proof That Properly Anticipated Prices Fluctuate Randomly, the current price of a stock is the best estimate of its true value. If the correct future price was already known, according to Samuelson, the price would immediately

News Events and Price Movements tention, mainly in connection with the question how exactly information is processed in the financial markets. This is based on a very narrow definition of “information content” that reduces the term to news contents which provoke prompt stock price movements. Media studies has mostly analyzed the effects of business news from the point of view of a supposed influence on voters' behavior, thus in a political context, if at all.10 So far, the interaction of markets and the media has not been studied by this discipline. In the following, the results of empirical research on the functioning of data processing in the financial markets will be extracted and examined in a qualitative meta-analysis. The goal is to understand the immediate effects of the media on financial markets. As a synthesis of the existing material will show, a long-term analysis reveals recurring patterns. There is a relationship between markets and the media, the media can have an effect on the markets. However, there is only a limited possibility of summarizing how this happens in universally applicable terms. The following questions are to be answered: Do news published in the mass media have an immediate effect on financial markets? And if yes, in which way? 2. State of the Art: "Random Walks" and "Irrational Exuberance" Do news have price effects on the financial markets or not? This question is part of a central and heated debate in economics which is far from being settled. In numerous studies, exponents of empirical capital market research have come to the conclusion that new information is reflected in stock prices quickly and without considerable delay. This is why they call markets “efficient” and consider news to be generally ineffective.11 Advocates of Behavioral Finance, however, document multiple cases of delayed price reactions after the arrival of new information and therefore describe the markets as “inefficient”. 12 They consider the news in the media to be potentially effective. The theoretical premises of the two approaches and their implications could hardly be more different: As Paul Samuelson (1965) explains in his classic text “Proof That Properly Anticipated Prices Fluctuate Randomly”, the current price of a stock is the best estimate of its true value. If the correct future price was already known, according to Samuelson, the price would immediately 6

News events and Price movements move into this direction. But this, precisely, is not the case. As a consequence, price fluctuations come about. The theory says, according to Eugene Famas (1970) classic definition of the" efficient market hypothesis",, that security prices at any time fully reflect all available information" A specification of this sentence shows that price formation in the financial markets follows a random walk. In brief: In a market reacting efficiently to information, stock ice changes cannot be predicted I5 The concept of efficient markets implies that the analysis and evaluation of information available to the public does not promise above-average returns. If ock prices only react to future, i.e. unknown, data, accessible ne are disseminated by the mass media, are almost irrelevant to price formation They are anticipated by the market. Price adjustments which have not been re alized prior to publication take place without any delay. In a nutshell: The prices already"" the news. As a result, prices always represent an ade quate reflection of fundamental values. An analysis of media contents in or- der to find future price patterns thus is obsolete because it would not create additional value. For there are no future price patterns that could be derived Conclusions from newer, behavioral approaches are different: Behavioral Finance, which is based on findings from psychology, sociology and anthro- pology, has emphatically pointed out the existence of so-called"market ano- males. This is a term for price movements which seem to contradict the ex- planations of models of rational economic behavior. Factors in the market environment, according to these observations, seem to lead to deviations of prices from their rationally justifiable levels. Stock prices divert more or less strongly from fundamental values. 9 Irrational exaggerations and price"bub- bles"are possible consequences. In brief: Stock prices do not(always) follow a random distibution The considerations of Behavioral Finance imply that the reports of the news media can be relevant for stock prices. As stock prices under-or overre- act to good or bad news, the mass media are of importance: because they in- tensity such market reactions or perhaps even provoke them themselves Robert shiller(1999)writes on this: It appears as if stock prices overreact to some news[.] before investors come to their senses and correct the prices As far as they arouse public interest, influence public opinion and unify inves-

News Events and Price Movements move into this direction. But this, precisely, is not the case. As a consequence, price fluctuations come about. The theory says, according to Eugene Fama’s (1970) classic definition of the “efficient market hypothesis” „that security prices at any time ‘fully reflect’ all available information”.13 A specification of this sentence shows that price formation in the financial markets follows a random walk.14 In brief: In a market reacting efficiently to information, stock price changes cannot be predicted.15 The concept of efficient markets implies that the analysis and evaluation of information available to the public does not promise above-average returns. If stock prices only react to future, i.e. unknown, data, accessible news, as they are disseminated by the mass media, are almost irrelevant to price formation. They are anticipated by the market. Price adjustments which have not been realized prior to publication take place without any delay.16 In a nutshell: The prices already “contain” the news. As a result, prices always represent an adequate reflection of fundamental values.17 An analysis of media contents in order to find future price patterns thus is obsolete because it would not create an additional value. For there are no future price patterns that could be derived. Conclusions from newer, behavioral approaches are different: Behavioral Finance, which is based on findings from psychology, sociology and anthropology, has emphatically pointed out the existence of so-called “market anomalies”. This is a term for price movements which seem to contradict the explanations of models of rational economic behavior.18 Factors in the market environment, according to these observations, seem to lead to deviations of prices from their rationally justifiable levels. Stock prices divert more or less strongly from fundamental values.19 Irrational exaggerations and price “bubbles” are possible consequences. In brief: Stock prices do not (always) follow a random distibution. The considerations of Behavioral Finance imply that the reports of the news media can be relevant for stock prices. As stock prices under- or overreact to good or bad news, the mass media are of importance: because they intensify such market reactions or perhaps even provoke them themselves. Robert Shiller (1999) writes on this: “It appears as if stock prices overreact to some news […] before investors come to their senses and correct the prices.”20 As far as they arouse public interest, influence public opinion and unify inves- 7

News events and Price movements tor behavior, the media potentially are a central factor in understanding the dynamics of financial markets In sum: Finance research provides substantial evidence for the fact that media reports have an impact on stock prices. And it provides substantial evi- dence for the fact that media reports do not have an impact on stock prices Media research has dealt with the topic, if at all, from a different perspec tive: Special priority has been given to the problem of insiders in business co- verage and potential conflicts of interest resulting from this. The reason for hese studies were cases in which journalists, who were in close contact with actors in the financial markets and thus became de facto insiders, used their non-public knowledge for personal enrichment- for example by publishing stock recommendations for companies they had business relations with in or- der to make speculative gains. 2 Criticism of these occurences is based on the assumption, which is at least implied, that the business media could have an influence on investor behavior If the media were without influence. discussions about unethical behavior of journalists would be without practical relevance, since no negative con- sequences were to be expected from journalists breaching regulations. These negative consequences are insinuated, however, if one urges journalists to deal responsibly with their audience and warns of manipulations. The scant ap- proaches in media research in this regard therefore at least implicitly assume that news have at least a punctual effect on investor behavior and can lead to market distortions through manipulative influencing of investors Only recently have there been attempts to systematically analyze the in- teraction of markets and the media in communication research. Schuster(2000a and 200lc)provides solid evidence for the fact that the role of the mass media has to be taken into account for an understanding of the dynamics of financial markets There is sufficient proof that cause -effect-relations which can be ea- sily isolated are the exception rather than the rule. Extraordinary price move ments after stock recommendations for example are only an exception. How- ever, it can by no means be deduced that the media do not have any effect and that secondary information in the mass media does not have an influence on price formation. The media can produce manifest as well as latent effects

News Events and Price Movements tor behavior, the media potentially are a central factor in understanding the dynamics of financial markets. In sum: Finance research provides substantial evidence for the fact that media reports have an impact on stock prices. And it provides substantial evidence for the fact that media reports do not have an impact on stock prices. Media research has dealt with the topic, if at all, from a different perspective: Special priority has been given to the problem of insiders in business coverage and potential conflicts of interest resulting from this.21 The reason for these studies were cases in which journalists, who were in close contact with actors in the financial markets and thus became de facto insiders, used their non-public knowledge for personal enrichment – for example by publishing stock recommendations for companies they had business relations with in order to make speculative gains.22 Criticism of these occurences is based on the assumption, which is at least implied, that the business media could have an influence on investor behavior. If the media were without influence, discussions about unethical behavior of journalists would be without practical relevance, since no negative consequences were to be expected from journalists breaching regulations. These negative consequences are insinuated, however, if one urges journalists to deal responsibly with their audience and warns of manipulations.23 The scant approaches in media research in this regard therefore at least implicitly assume that news have at least a punctual effect on investor behavior and can lead to market distortions through manipulative influencing of investors. Only recently have there been attempts to systematically analyze the interaction of markets and the media in communication research. Schuster (2000a and 2001c) provides solid evidence for the fact that the role of the mass media has to be taken into account for an understanding of the dynamics of financial markets. There is sufficient proof that cause-effect-relations which can be easily isolated are the exception rather than the rule. Extraordinary price movements after stock recommendations for example are only an exception. However, it can by no means be deduced that the media do not have any effect and that secondary information in the mass media does not have an influence on price formation. The media can produce manifest as well as latent effects. 8

News events and Price movements 3. News Effects: Rapid return reactions Piles of studies of empirical financial market research make it evident: De- layed effects of news do not represent the norm. even on days when"bi events dominate headlines in the media, according to Cutler, Poterba and Summers(1989), the price movements that occur are rather small most of the time. On the other hand, many of the largest market movements take place on days without significant events in the news. Generally speaking, it seems to be true that no systematic relationship can be established between the publication of business and other news in the media and consequent substantial stock price changes in the financial markets. Market prices fluctuate, but often the news are not very important And vice versa This result has been and is still underpinned by exponents of the theory of efficient markets in a large number of event studies: Stock prices react quickly to new information, even before it is published by the news media. Effects of new information on stock prices in the form of systematic and delayed price reactions do not represent the rule. On the contrary: Fama, Fisher, Jensen and Roll(1969)already point out in their study on market reactions to stocks splits that stock prices adjust very rapidly to new information. Shortly after the announcement of splits, the authors state, mostly within one day only, the relevant price adjustments have been carried out. Therefore, it is usually im- ossible to achieve an abnormal gain by reacting to such data Ball and Brown(1968) look at market reactions to the publication of ac- counting income numbers in the Wall Street Journal. Their result: The major part of new information is anticipated in stock prices in the preceding months The actual publication in the newspaper hardly has got any measurable ef- fect.26"The market", according to Dimson and Mussavian(2000), "appears to anticipate the information, and most of the price adjustment is complete be- fore the event is revealed to the market. When news is released, the remaining price adjustment takes place rapidly and accurately. The conclusion from this is the following: That published information does not permit forecasts of stock price changes

News Events and Price Movements 3. News Effects: Rapid Return Reactions Piles of studies of empirical financial market research make it evident: Delayed effects of news do not represent the norm. Even on days when “big events” dominate headlines in the media, according to Cutler, Poterba and Summers (1989), the price movements that occur are rather small most of the time. On the other hand, many of the largest market movements take place on days without significant events in the news. Generally speaking, it seems to be true that no systematic relationship can be established between the publication of business and other news in the media and consequent substantial stock price changes in the financial markets. Market prices fluctuate, but often the news are not very important. And vice versa. This result has been and is still underpinned by exponents of the theory of efficient markets in a large number of event studies: Stock prices react quickly to new information, even before it is published by the news media. Effects of new information on stock prices in the form of systematic and delayed price reactions do not represent the rule. On the contrary: Fama, Fisher, Jensen and Roll (1969) already point out in their study on market reactions to stocks splits “that stock prices adjust very rapidly to new information.”24 Shortly after the announcement of splits, the authors state, mostly within one day only, the relevant price adjustments have been carried out.25 Therefore, it is usually impossible to achieve an abnormal gain by reacting to such data. Ball and Brown (1968) look at market reactions to the publication of accounting income numbers in the Wall Street Journal. Their result: The major part of new information is anticipated in stock prices in the preceding months. The actual publication in the newspaper hardly has got any measurable effect.26 “The market”, according to Dimson and Mussavian (2000), “appears to anticipate the information, and most of the price adjustment is complete before the event is revealed to the market. When news is released, the remaining price adjustment takes place rapidly and accurately.“27 The conclusion from this is the following: That published information does not permit forecasts of stock price changes. 9

News events and Price movements A multitude of event studies provide evidence for the speed with which the market really reacts. For example to companies' press releases: Patell and Wolfson(1984) demonstrate that price movements in connection with divi- dend and earnings announcements through the Dow Jones News Service set in prior to publication. The main boost in stock prices follows five to fifteen mi- nutes after the publication. Sixty to ninety minutes later, price adjustments are for the most part concluded. 8 While earnings announcements at least seem to trigger significant price movements around the publication date, the reactions to dividend announcements are weak and only worth mentioning in case of dividend changes. If price movements occur at all after dividend announce- ments, these are carried out very quickly Similar results are available for the german market: gerke. Oerke and Sentner (1997)investigate market reactions to the publication of dividend changes in business newswires and in the business paper Handelsblatt for the period from 1987 to 1994. Their findings show that stock prices react to dividend increases with abnormal returns of about one per cent on the same day; after that, there are no noticeable price fluctuations.The situation is different, however, for negative surprises: Dividend decreases and dividend omissions are responded to with immediate declines in prices, but this reaction does not stop until several days later. In addition, it is striking that a signifi- cant share of the price adjustment only happens when the information has been disseminated in the press(and not after the agency report) In many cases, the processing of information happens very quickly. Roder (2000a)comes to the conclusion that a certain type of company report,so- called ad hoc-announcements are processed very smoothly for companies listed in the DAX. After the publication date, no abnormal price movements can be established. The price reaction sets in during the first 15 minutes after publication and the major part of it is completed within the first hour of trad- ing. Stock prices of smaller companies, however, can show delayed price re actions to company news, even on the day after the publication. But these theoretical excess returns that can be observed with hindsight can hardly be realized in practice since the transactions costs exceed the potential gain Positive firm announcements, according to the results of Woodruff and Senchack(1988)on the American market, are reflected especially rapidly in

News Events and Price Movements A multitude of event studies provide evidence for the speed with which the market really reacts. For example to companies' press releases: Patell and Wolfson (1984) demonstrate that price movements in connection with dividend and earnings announcements through the Dow Jones News Service set in prior to publication. The main boost in stock prices follows five to fifteen minutes after the publication. Sixty to ninety minutes later, price adjustments are for the most part concluded.28 While earnings announcements at least seem to trigger significant price movements around the publication date, the reactions to dividend announcements are weak and only worth mentioning in case of dividend changes. If price movements occur at all after dividend announcements, these are carried out very quickly. Similar results are available for the German market: Gerke, Oerke and Sentner (1997) investigate market reactions to the publication of dividend changes in business newswires and in the business paper Handelsblatt for the period from 1987 to 1994. Their findings show that stock prices react to dividend increases with abnormal returns of about one per cent on the same day; after that, there are no noticeable price fluctuations.29 The situation is different, however, for negative surprises: Dividend decreases and dividend omissions are responded to with immediate declines in prices, but this reaction does not stop until several days later. In addition, it is striking that a significant share of the price adjustment only happens when the information has been disseminated in the press (and not after the agency report). In many cases, the processing of information happens very quickly. Röder (2000a) comes to the conclusion that a certain type of company report, socalled ad hoc-announcements, are processed very smoothly for companies listed in the DAX. After the publication date, no abnormal price movements can be established. The price reaction sets in during the first 15 minutes after publication and the major part of it is completed within the first hour of trading.30 Stock prices of smaller companies, however, can show delayed price reactions to company news, even on the day after the publication. But these theoretical excess returns that can be observed with hindsight can hardly be realized in practice since the transactions costs exceed the potential gain. Positive firm announcements, according to the results of Woodruff and Senchack (1988) on the American market, are reflected especially rapidly in 10