According to the Efficient Market Hypothesis stock prices should be affected by the release of new information. In this paper we analyse the effect of newspapers on stock prices provided that the newspapers do not have access to private information.
This research paper was published as University essay from Handelshögskolan i Stockholm.
To find an answer to this question, a random sample of stocks from OMX Stockholm Stock Exchange have been chosen. Stock data has been gathered together with articles about the stocks in the sample. The articles have been classified as positive, neutral and negative. That information have been plugged in a set of variables and then regressed with the daily abnormal returns of the stocks. Empirical data shows that newspapers have an overall significant effect on stock’s abnormal returns and therefore over stock prices.
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