Aaltodoc publication archive (Aalto University institutional repository)
School of Business | Department of Accounting | Accounting | 2016
Thesis number: 14572
Relations between media publicity, stock returns and trading volume: Empirical evidence for three Finnish companies listed on NASDAQ OMX Helsinki
|Title:||Relations between media publicity, stock returns and trading volume: Empirical evidence for three Finnish companies listed on NASDAQ OMX Helsinki|
|Year:||2016 Language: eng|
|Department:||Department of Accounting|
|Index terms:||laskentatoimi; accounting; media; media; julkisuus; publicity; osakemarkkinat; stock markets; yrityksen arvo; company valuation|
|Key terms:||media publicity; media sentiment; abnormal daily stock returns; trading volume; media hit; enterprise value|
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.
Master's theses are stored at Learning Centre in Otaniemi.