Elvira Anna Graziano

Are Media Able to Grab Investors' Attention? The Case of Spin-off Deals

  • Abstract

Informations and abstract

Keywords: Spin-Off; Media; Event Study; Investors' Attention.

This study investigates the effect of the circulation of spin-off news, published between 2000 and 2012 in the Wall Street Journal (WSJ), and the investors' attention effect on the abnormal returns of companies involved in the deal. The results of the empirical analysis is developed through an event study on a sample of 176 listed companies. They show, firstly, a positive and statistically significant CAAR in the event window (-1,0) and (0,1) for spin-offs whose news were published in the WSJ within a week of the announcement: the most important newspapers seem to affect stock prices while not providing any new information, confirming the findings of existing studies; secondly, a positive and statistically significant CAAR in the event window (-1,1) and (-1,0) for spin-offs with high level of investors' attention in the week around the announcement date.

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