Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance

28 Pages Posted: 29 Dec 2006

See all articles by Elena Argentesi

Elena Argentesi

University of Bologna - Department of Economics

Helmut Luetkepohl

European University Institute; CESifo (Center for Economic Studies and Ifo Institute)

Massimo Motta

Universitat Pompeu Fabra

Date Written: November 2006

Abstract

This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.

Keywords: Behavioural economics, time-series econometrics, empirical finance, newspapers

JEL Classification: D80, G10

Suggested Citation

Argentesi, Elena and Luetkepohl, Helmut and Motta, Massimo, Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance (November 2006). CEPR Discussion Paper No. 5912, Available at SSRN: https://ssrn.com/abstract=954138

Elena Argentesi

University of Bologna - Department of Economics ( email )

Piazza Scaravilli 2
Bologna, BO 40141
Italy
+39 051 209 8661 (Phone)
+39 051 209 8040 (Fax)

HOME PAGE: http://www2.dse.unibo.it/argentes/

Helmut Luetkepohl

European University Institute ( email )

Villa San Paulo
Via della Piazzola 43
I-50133 Firenze
Italy
+39 055 4685 971 (Phone)
+39 055 4685 902 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Massimo Motta (Contact Author)

Universitat Pompeu Fabra ( email )

Ramon Trias Fargas 25-27
Barcelona, 08005
Spain

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