Stock prices and the dissemination of second-hand information–new evidence from Germany

Abstract

We analyse a large sample of second-hand information published in the Tendenzen & Tips column of the prominent German newspaper Frankfurter Allgemeine Zeitung (FAZ), which is free of any contamination from first-hand information. We find strong evidence for the price-pressure hypothesis because we observe a highly significant abnormal return of 0.19% for buy recommendations on the publication day. Additionally, our data supports the attention hypothesis, since the market reaction is more pronounced when relatively few stocks are recommended in the column.

Notes

¹ Our own calculations are based on data provided by www.pz-online.de, which is the media service of VDZ (Verband Deutscher Zeitschriftenverleger e.V.).

² Data is provided by the Frankfurter Allgemeine Zeitung.