We investigate whether media attention systematically affects stock prices through the trading of individual investors by exploiting the substantial discrepancy between perceived and actual information content of 6,937 CEO interviews on CNBC. The average cumulative abnormal stock return over the [-2, 0] trading day window is 1.62%, followed by reversion of 1.08% over the following ten trading days. The magnitude of price response is positively correlated with the viewership as well as the language tone of the CEO. Individual investors and short sellers are key drivers of the pricing pattern. We document evidence of information cascade coming from CNBC interviews.
Keywords: Market efficiency, investor attention, media, CEO interviews, Jim Cramer, Maria Bartiromo, individual investors
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