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Replication data for: Media Frenzies in Markets for Financial Information

Version
V0
Resource Type
Dataset
Creator
  • Veldkamp, Laura L.
Publication Date
2006-06-01
Description
  • Abstract

    Emerging equity markets witness occasional surges in prices (frenzies) and crossmarket price dispersion (herds), accompanied by abundant media coverage. An information market complementarity can explain these anomalies. Because information has high fixed costs, high volume makes it inexpensive. Low prices induce investors to buy information that others buy. Given two identical assets, investors learn about one; abundant information reduces its payoff risk and raises its price. Transitions between low-information/low-asset-price and high-information/highasset- price equilibria resemble frenzies. Equity data and new panel data on news coverage support the model's predictions: Asset market movements generate news and news raises prices and price dispersion. (JEL D82, G12, G14)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.96.3.577 (Text)
Publications
  • Veldkamp, Laura L. “Media Frenzies in Markets for Financial Information.” American Economic Review 96, no. 3 (May 2006): 577–601. https://doi.org/10.1257/aer.96.3.577.
    • ID: 10.1257/aer.96.3.577 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Veldkamp, Laura L. (2006): Replication data for: Media Frenzies in Markets for Financial Information. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116219