Financial Markets and Portfolio Management

, Volume 28, Issue 4, pp 409–436 | Cite as

The impact of Financial Times Deutschland news on stock prices: post-announcement drifts and inattention of investors

  • Alexander KerlEmail author
  • Carolin Schürg
  • Andreas Walter


In this paper, we analyze the impact of Financial Times Deutschland (FTD) news on stock prices and trading volumes. Based on a sample of all news about German DAX, MDAX, and SDAX companies published in the news section of the FTD between 2006 and 2010, our results show that articles that contain positive (negative) information are associated with significantly positive (negative) abnormal returns and abnormal trading volumes around their publication. Furthermore, our results show an initial underreaction to these articles and subsequent post-publication drift. Based on the inattention hypothesis, we show that high-attention news (proxied by abnormal trading volume) almost instantaneously moves stock prices to their new valuation levels, whereas the price adjustment process takes much longer following low-attention news. Our results also hold within multivariate regressions where we additionally control for stock-specific characteristics (e.g., institutional ownership, size, and price-to-book ratio) as well as other attention-grabbing events (as measured by ad hoc announcements and cover-page news articles). Finally, we show that results primarily hold in the non-crisis period.


Underreaction Media coverage News Abnormal trading volume Investor inattention 

JEL Classification

G12 G14 



We received helpful suggestions from seminar participants at the “Marketing Meets Wall Street” conference in Frankfurt/Main. We also thank the anonymous referee for his comments and helpful suggestions.


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Copyright information

© Swiss Society for Financial Market Research 2014

Authors and Affiliations

  • Alexander Kerl
    • 1
    Email author
  • Carolin Schürg
    • 2
  • Andreas Walter
    • 1
  1. 1.Department of Financial ServicesUniversity of GiessenGiessenGermany
  2. 2.Finance DepartmentJohannes Gutenberg UniversityMainzGermany

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