Wisniewski, Tomasz Piotr; Lambe, Brendan - In: Journal of Economic Behavior & Organization 85 (2013) C, pp. 163-175
Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the...