Cross-Regional Differences in News Tone and Local Stock Ownership
研究同一新闻事件在不同地区的报道语调差异如何影响个人投资者的本地股票持有和交易行为，发现投资者会识别新闻的时效性并表现出反向交易行为。
This study examines cross-regional differences in news tone for the same news event and relates it to local stock ownership of individual investors using a combination of detailed investor and media data. The results show that news tone amplifies the overall attention effect and decreases the difference between the trading activities of local and nonlocal investors when locally sourced news is republished across regions. In general, trading activity decreases for given republished news, but it still exists because the same news event garners attention as it diffuses to other regional outlets in a different news tone. Overall, individual investors seem to realize that the news is stale but expect subsequent price reversals following the republished news, thus showing news-contrarian trading behavior. Furthermore, they distinguish good firms from bad firms, indicating that adverse selection is partially responsible for the observed news-contrarian trading behaviors. This paper was accepted by David Simchi-Levi, finance.