Newly Published Research: "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage"

Here is some newly published research that I have with Gene Birz in the latest issue of the Journal of Banking & Finance. This paper finds that media bias can have real economic effects. We will see how many downloads this paper gets. Hopefully, it will get some attention.

Journal of Banking & Finance
Volume 35, Issue 11, November 2011, Pages 2791-2800

The effect of macroeconomic news on stock returns: New evidence from newspaper coverage

Gene Birz and John R. Lott Jr.
Received 19 May 2010; accepted 13 March 2011. Available online 17 March 2011.
Abstract
Previous literature has produced weak evidence to support the hypothesis that real economic news affects stock returns. This is, in part, attributed to the difficulty of measuring how investors interpret macroeconomic announcements in different economic environments. In this paper, we choose a different approach of measuring macroeconomic news to better estimate its effect on stock returns. Since newspaper stories provide an interpretation of the statistical releases, we choose newspaper stories as our measure of news. Our findings indicate that news about GDP and unemployment does affect stock returns.
Keywords: Stock returns; Macroeconomic news; Information