CEO CNBC Price Correlation

CEO Interviews on CNBC
Felix Meschke1
Young Han Kim2
Jan 21st, 2011
Abstract
This paper investigates whether media attention systematically affects stock prices by analyzing
price and volume reactions to 6,937 CEO interviews that were broadcast on CNBC between
1997 and 2006. We document a significant positive abnormal return of 162 basis points
accompanied by abnormally high trading volume over the [-2, 0] trading day window. After the
interviews, prices exhibit strong reversion; over the following ten trading days, the cumulative
abnormal return is negative 108 basis points. The pattern is robust even after controlling for the
announcements of major corporate events and surrounding news articles, and is larger in
magnitude if the interview is accompanied by larger viewership. Furthermore, we find evidence
that enthusiastic individual investors are more likely to trade based on CNBC interviews that are
neither confounded by any events nor by other news articles. Lastly, we find that more attention
drawing interviews are associated with higher short-selling volume, which suggests that rational
utility maximizing investors take advantage of the regular pricing pattern related to the media
attention.
Key words: Market efficiency, investor attention, media, CEO interviews, Jim Cramer, Maria
Bartiromo, individual investors
JEL classifications: G14, G12.

1
University of Kansas, meschke@ku.edu, (347) 433-5495 Summerfield, 118-G, 1300 Sunnyside Avenue, Lawrence,
KS 66045-7585, USA.
2
Nanyang Business School, NTU, yhkim@ntu.edu.sg, 65+6790-4639. We thank Rajesh Aggarwal, John Boyd,
Sreedhar Bharath, Jarrad Harford, Thomas Holmes, David Hirshleifer, Pab Jotiskasthira, Jun-Koo Kang, Terry
Odean, Monika Piazzesi, Sheridan Titman, Scott Weisbenner, the conference participants of AFA2003, the seminar
participants at Nanyang Business School and SKKU-MIT, and an anonymous referee for helpful feedback. Andy
Kim thanks the Start-Up Grant of NTU (grant number:M58010013) that was used to purchase the viewership data
from Nielsen Media Company. We also appreciate the excellent research assistance of Young Jae Choi, Young Ok
Kwon, and Vimal Singh. All errors belong to the authors.
Electronic copy available at: http://ssrn.com/abstract=1745085

I. Introduction
How does media attention impact security prices? Huberman and Regev (2001) analyze
the puzzling case of a New York Times article (Kolata, 1998) that, without containing any new
facts, caused a dramatic rise in the stock price of a small biotechnology company, EntreMed.
They attribute EntreMed’s astounding market reaction to the article’s prominent position in the
upper left corner of the front page labeled “a special report” as well as its optimistic tone. Since
the “story’s impact on the stock prices was immediate, huge, and to a large extent permanent” (p.
387), the authors hypothesize that enthusiastic public attention may systematically move stock
prices away from fundamental value without new information, resulting in “possible arbitrariness
of stock prices” (p. 396)3. Literature linking media attention to market efficiency has been
quickly growing ever since the first version of this paper (Da, Engelberg, and Gao, 2009; Fang
and Peress, 2008; Gurun and Butler, 2009; Liu, Sherman, and Zhang, 2009; Tetlock, 2010, just
to name a few), yet the evidence is mixed. This paper presents evidence that media-generated
attention regularly and consistently impacts stock prices beyond information effects in a
transitory manner by stimulating enthusiastic individual investors.
Merton’s (1987) model, where incomplete information of the capital market is assumed,
predicts that an increase in investor base, caused by uninformative media attention, could
increase a stock price permanently. We test Merton’s (1987) model by analyzing the market
reaction to 6,937 CEO interviews aired on CNBC between 1997 and 2006, and find a partial
support of the theory only for the firms with the lowest quintile of residual analyst coverage.

3
Numerous other books and articles draw similar conclusions. See, for example, Shiller (2000); Kurtz (2000);
Vickers and Weiss (2000); Ritter (2003); Malkiel (2004); and Lowenstein (2004).

Still, the predominant pattern of stock price response to a CEO interview is a spike-up followed
by a quick reversal.
The large number of observations over a long period of time and the specific character of
these interviews provide a unique opportunity to study the existence and nature of the
relationship between media-generated attention and security prices. We document a significant
cumulative abnormal return of 83.6 basis points over the two days prior to these CEO interviews
and a significant abnormal return of 78.6 basis points on the interview day. After the interviews,
prices exhibit strong reversion: over the next ten trading days, the average cumulative abnormal
return is negative 107.6 basis points. Furthermore, the order imbalance of smallest-sized trade
group, which proxies the trading of individual investors, is significantly positive and largest in
magnitude on the day of CEO interviews, when the interviews are not confounded by any major
corporate events nor by any news articles.
We examine alternative explanations of these findings by discussing whether the
observed market reaction is driven by the informational environment of the firm or by the
information content of the interview or by that of the surrounding news articles. We also
investigate whether the results are driven by a specific time-period or by a specific industry or
stock exchange. After controlling for the variables related to the alternative explanations, we
still find that media attention consistently generates the spike and reversal.
This paper proceeds as follows. Section II discusses related research and develops
hypotheses. Section III describes the data. Section IV delivers the main results of the paper. In
section V, we report the results of various tests we ran to investigate an exhaustive list of
competing hypotheses. Section VI concludes our analysis.

II. Related Research and Hypothesis Development
A. Related Research
The fast growing recent literature established that media attention does affect the stock
price beyond information effect. However, the researchers have been inconclusive about how
the media attention affects the stock price. One group of researchers finds that the media
attention helps the diffusion of information and increase the investor base (Merton 1987; Fang
and Peress 2009; and Ahern and Sosyura, 2011). Another finds that the media attention
systematically drives the price away from the fundamentals in the long run (Shiller 2000;
Huberman and Regev 2001, Dougal, Garcia, Engelberg, and Parsons, 2010). Still another finds
that media carries stale information, triggers abnormally high trading volume of individual
investors, and results in price reversals (Tetlock, 2010; Engelberg and Parsons 2009; Da,
Engelberg, and Gao, 2010; Engelberg, Sasseville, and Williams, 2010).
Three papers come closest in comparison with ours: Tetlock (2010); Engelberg,
Sasseville, and Williams (2010); and Engelberg and Parsons (2010). Tetlock (2010) finds that
the more stale news articles are associated with more price reversals. Since CEO interviews are
supposed to carry no material information, the information content would be stale at best. While
Tetlock’s (2010) approach is based on portfolio formation by staleness of the news contents on
printed media, we have clearly defined set of non-information events and link the stock price
response to the direct measure of attention to the multimedia, the viewership.
Engelberg, Sasseville, and Williams (2010) find that supposedly non-informative stock
recommendation by Jim Cramer in his TV show triggers a spike and reversal of the stock price.
While linking the viewership with the spike of the day of the TV show is similar, we also link the
viewership to the magnitude of the reversal. We work with a clearer set of events (CEO
interviews) that are not supposed to be informative in the first place, while the stock
recommendation by the ex-Golman Sachs trader and hedge fund manager, Jim Cramer, may still
be informative, despite the poor performance of his buy-recommended stocks ex-post. Most
importantly, because we have ten years’ CEO interviews, we show that diminishing marginal
attention to the CEO interviews of the same firm is consistently priced as diminishing magnitude
of spike and reversal. Lastly, since we have interviews by various show hosts, we find that more
attention drawing anchors’ CEO interviews receive more short sale volume.
Engelberg and Parsons (2010) find that an exogenous shock to local media transmission,
proxied by extreme weather condition, reduces the trading by local individual investors. They
even raise a critique that it is impossible to perfectly disentangle the information effect from
attention effect. However, we try the “brute force” method of separating the two effects not only
by narrowing down to the unconfounded CEO interviews, but also by controlling for the
information content of the news articles and of the interview scripts using computational
linguistic technique. Huberman and Regev (2001) is close to ours in that they study the media
attention event that is devoid of any surrounding new information events. However, theirs is a
single case study, whereas ours is a large sample study. Moreover, we document that the
attention drawing non-verbal meta-communications such as confident appearance (laughter) and
poor presentation skills (stuttering) of the CEO also affect the stock price movement transitorily.
All in all, while the each paper in the literature has been connecting two of the three dots of
attention, individual investors, and short selling separately, our paper shows how these three dots
are connected in a coherent manner.

Recently, the literature on testing Merton’s (1987) visibility hypothesis has been prolific.
Using unique data from Sweden where the individual investor base of each stock is available,
Bodnaruk and Ostberg (2009) find that firms with a lower investor base have larger expected
returns than firms with a larger investor base. Researchers use various measures of visibility,
including listing events, product market advertising, or simply trading volume. For example,
Kadlec and McConnell (1994) argue that greater visibility associated with listing on the NYSE
increases the number of shareholders and reduces bid-ask spreads. For non-U.S. firms, listing on
U.S. stock exchanges is associated with increased visibility as measured by numbers of
shareholders, analyst coverage, and print media attention, as well as a decrease in the cost of
equity capital after the listing event (Foerster and Karolyi, 1999; Baker, Nofsinger, and Weaver,
2002). Grullon, Kanatas, and Weston (2004) measure firm visibility among investors by firm
product market advertising and show that firms with greater advertising expenditures have a
larger number of both individual and institutional investors, and better liquidity of their common
stock. In comparison, Frieder and Subramanyam (2005) find that individual investors tend to
hold the stocks of firms with strong brand recognition, whereas institutional investors do not.
For firms airing three or more television commercials during Super Bowl broadcasts, Fehle,
Tsyplakov, and Zdorovtsov (2003) document a permanent abnormal one-day return of 45 basis
points.
Studies using trading volume as a proxy for unobserved visibility increasing events report
mixed results. On the one hand, Gervais, Kaniel, and Mingelgrin (2001) and Kaniel, Li, and
Starks (2003) document that stocks that experience a period of high trading volume outperform
stocks experiencing a period of low trading volume over the following 20 trading days. By
contrast, Barber and Odean (2006) calculate net order imbalances for 66,000 individual investors
at a large discount brokerage on high volume days and document that a portfolio of stocks
bought by these individual investors underperforms a portfolio of stocks sold by them. Barber,
Odean, and Zhu (2008) conclude that the stocks individual investors purchase underperform
relative to the stocks they sell over one year by 13.1 percentage points. While their results show
reversals of the stocks the individual investors buy or sell over a one-year period, our results
show a much faster reversal over 10 to 30 trading-day periods. Another interesting finding is
from Dellavigna and Pollet (2009) who find that due to the limited attention of investors on
Friday relative to other weekdays, earnings announced on Friday result in a 15% lower market
response and a 70% larger post-earnings announcement drift.
B. Hypotheses Development
Huberman and Regev (2001) characterize the New York Times article that gave rise to
EnterMed’s large stock price reaction as a non-event because no new hard information had been
disseminated. However, the article’s prominent position effectively certified previously reported
facts. Such certification could lead investors to assign a higher probability to an expected
outcome, thereby moving stock prices. To show that media attention affects stock prices beyond
information effects, one can never prove that a market-moving report is completely devoid of
any information content. Tetlock, Saar-Tsechansky, and Macscassy (2008) find that investors
capture information from the linguistic content of news articles that is otherwise hard to quantify.
It is only possible to show that the ensuing market reaction to the media report is more consistent
with media-generated attention than with mere dissemination of new information. Huberman
and Regev (2001) do so by demonstrating that the market reaction to the New York Times article
is more likely due to a media-generated “burst of optimism” than to any information content in
the article.
Identifying a class of events that generates much attention without information content,
like in the Huberman and Regev (2001) case, would allow us to empirically test Merton’s (1987)
hypothesis. We suggest that our sample of 6,937 CEO interviews that were broadcast on CNBC
constitutes such a class of events since these interviews share essential characteristics with the
New York Times article about EntreMed. The article constitutes a burst of optimism, released to
a large audience with high visibility on the front page of the New York Times which was very
suggestive of a genuine news event, distracting from its low actual information content.
Similarly, CEO interviews on CNBC are broadcast to a large audience, CEOs have strong
incentives to be very optimistic about their companies, and their mere appearance on television is
suggestive of a genuine news event. Most importantly, the actual information content of these
CEO interviews is usually quite low, especially given that we focus on the interviews that are not
confounded by major corporate events by ten trading days before or after the interview. We
address these points in detail below.
B.1. Large Audience
Since its creation on April 17, 1989, CNBC has become the world’s most popular
business television channel. Seventy-seven million households in the U.S. and Canada (160
million households worldwide) have access to its broadcast. Average viewership during trading
days is 752,000 households (Nielsen Media Research). CNBC claims that due to the Internet
and cable television, the information advantage of professional traders has disappeared because
viewers receive information as fast as the pros and the viewers are urged to “profit from it.”4 If
CNBC viewers believe they can make money by trading on news, then these viewers must react
rapidly because in competitive markets, information is instantaneously incorporated into stock
prices. Busse and Green (2002) find that CNBC’s audience indeed responds within seconds to
an analyst’s stock recommendation on CNBC’s Morning Call and Midday Call segments. If the
excitability of CNBC’s viewers at least matches that of New York Times readers, we expect
analogous behavior in response to CEO interviews5.
B.2. Managerial Optimism
Merton’s visibility hypothesis posits that stimulating investor interest benefits all
existing shareholders by raising stock prices and lowering the company’s cost of capital. In
addition, since executive compensation is commonly tied to stock price performance, if the stock
price increase is permanent, a positive market reaction to a CEO interview may translate into
increased wealth for the CEO. Finally, career concerns encourage CEOs to look good on
television. CEOs, therefore, have a vital interest in appearing optimistic during their interviews.6

4
CNBC’s tag line used to be “CNBC- Profit from it.” It was dropped from the North America web page in 2000, but
it is still used in Asia. CNBC’s credo is reflected in the opening paragraph of Maria Bartiromo’s book Use the
News: “We live in an extraordinary time for ordinary investors. Wall Street has gone from an institutional club
admitting only select professionals to a game that’s wide open to individuals.” (Bartiromo and Fredman, 2001, p.1)
5
The need to react immediately in order to potentially profit from a news release leaves little time to analyze and
validate the information, as exemplified by an incident on June 30, 2000:
“A mistake Friday on financial-news cable channel CNBC ran up shares of MACC Private Equities MACC
almost 80%. The ticker of the private investment firm was mistakently displayed in place of the ticker for
chipmaker Applied Micro Circuits, AMCC which had received an analyst upgrade. Shares of MACC
Private Equities closed 6% higher at 9 13/16, on more than 300% of its normal volume, or 336,000 shares.
Shares at one point traded at 17½, about 50% higher than its previous 52-week high. Applied Micro
Circuits rose 2% to 98¾.”5
6
In addition, Willis (2001) reports that mutual fund manager earnings forecasts systematically overestimate actual
earnings and attributes this bias to managerial optimism. It is, therefore, possible that managerial optimism is not
just incentive-induced but may also be a trait.
Similar to the New York Times article that was analyzed by Huberman and Regev (2001), CEO
interviews on CNBC can be viewed as an attention grabbing “burst of optimism.”7
B.3. Perceived versus Actual Information Content of CEO Interviews
For the purpose of examining the impact of media-generated attention on security prices,
it is most attractive that CEO interviews on CNBC come across as genuine news events, while
their actual information content is typically quite low. The mere fact that the highest-ranking
corporate officer is appearing on television suggests that CEO interviews may contain important
news. In addition, CNBC treats these interviews like major information events by pre-
announcing them after the market closes one day prior to the interview and further claim that
they will provide the “latest information” (Bartiromo and Fredman, 2001; Malkiel, 2004).
However, in most cases, investors should not expect new hard facts from these CEO interviews
(Cramer, 2004). While CEOs have great incentives to appear optimistic about the prospects of
their companies due to the sensitivity of the value of their compensation packages to their
company’s stock price, they also have to be careful to avoid any public statement that could
trigger shareholder litigations. Although the Private Securities Litigation Reform Act of 1995
contains a safe harbor provision intended to protect corporate leaders from liability incurred by
offering forward-looking statements, an SEC study finds that “the quality and quantity of
forward-looking disclosure has not significantly improved following the enactment of the safe

7
In an unreported table, we run a probit model of having a CEO interviews on CNBC using the universe of the daily
CRSP dataset, where the dependent variable is one if the company had a CNBC interview on that trading day. We
find that CEOs are more likely to have interviews when the return on the previous day is high, the idiosyncratic risk
is low, the past stock performance over the six-month horizon is good, when the market risk of the firm is high,
when the firm is large or glamour, when the firm has announced that it will acquire a target, when the firm had an
earnings surprise, when the firm changed its stock exchange or ticker symbol, when the firm’s stock price or volume
hit a 52-week high, and when the firm is included in the S&P500 index. As such, CEO interviews take place when
the firm has a good reason to show optimism.
harbor for forward-looking statements” (SEC, 1997, p. 3). The Private Securities Litigation
Reform Act of 1995 also requires corporations to increase investor protection by indicating
which statements are intended to be forward-looking, and to accompany them with “meaningful
cautionary statements identifying important factors that could cause actual results to differ
materially from those in the forward-looking statement” (15 U.S.C. 77z-2(c)(1)(A)(i))8.
Perino (2002) shows that for the period of 1999 to 2001, 3.25% of all companies were
subject to such securities litigation, compared to 2.4% for the pre-reform period from 1991 to
1995. Pritchard and Sale (2003) also document that courts are, in fact, less likely to dismiss
complaints based on forward-looking statements since the passage of the Private Securities
Litigation Reform Act in 1995. Pravda and Garai (2000, p. 3) argue: “Despite corporate officers’
legal ‘freedom’ to make specific forward-looking statements, most will only provide statements
that maximize investor interest in their firm.” Since CEO interviews on CNBC generally last
only three to five minutes, and the conversation style is casual and fast-paced, “meaningful
precautionary language” does not fit the interview format. Instead, CNBC interviews are
intended to attract the attention of retail investors and differ notably from the much longer and
more technical conference calls directed at analysts.
While CEO interviews on CNBC can easily be mistaken for genuine news releases,
closer analysis reveals that the threat of litigation in combination with an interview setting that
makes “meaningful precautionary language” impractical leads to a class of events that hardly
disseminates any new hard facts to investors. This discrepancy between perceived and actual

8
Pravda and Garai (2000, p. 3) explicitly warn:
“Those organizations that are not accompanying forward-looking statements with meaningful
precautionary language are providing an added arrow in the quiver of strike suit lawyers bringing private actions
under the securities laws. Now, with the new safe harbor regulations in place, strike suit lawyers may have
increased ammunition for successfully prosecuting a firm.”
information content allows researchers to empirically test how media attention impacts security
prices. Merton’s (1987) visibility hypothesis predicts that media attention permanently impacts
stock prices, and this hypothesis is tested against the null hypothesis of CEO interviews on
CNBC having no significant impact on stock prices.
As we find a consistent spike and reversal in stock price responses to the CEO interviews,
we investigate who is trading on the media driven attention drawing events. Barber and Odean
(2008) find that individual investors are the net buyers of attention-grabbing stocks, and Tetlock
(2010) find that individual investors over-react to stale information. Thus, we hypothesize that
individual investors are trading on the CEO interviews on CNBC, and find supporting evidence.
Lastly, given that a consistent pricing pattern of run-up and reversal is found regularly
surrounding the CEO interviews, rational investors may take it as a profit taking opportunity by
short selling the stock on the day after the CEO interview. Moreover, given that the reversal is
larger in magnitude for more attention drawing CEO interviews such as first time interviews,
such profit taking opportunity may be larger for such interviews. Therefore, we investigate
whether short selling is significantly higher for more attention drawing CEO interviews.
III. Data
We hand collect 6,937 CEO interview transcripts on CNBC from Factiva.9 We then
merge each interview observation with the stock price data from the Center for Research in
Securities Price (CRSP) and accounting data from Compustat by Standard and Poor’s. We also

9
This is the number of observations that have valid CRSP data as well as the non-missing values of stock prices
over the estimation window of [-150, -10] trading days and the event window of [-10, +10] trading days relative to
the CEO interview date.
use the viewership data from the Nielsen Media Research as a direct measure of investor
attention. One important concern is that the stock price response to a CEO interview may be
contaminated by informational events such as merger or earnings announcements. In such a case,
it would not be safe to claim the stock price response to a CEO interview is purely attributable to
the attention instead of the information. Therefore, we first identify the interviews that are
confounded by major corporate events by ten calendar days before or after the interview date.
We use an exhaustive list of standard databases to obtain the announcement date of major
corporate events. From SDC Platinum, we obtain the information of (1) the announcement dates
or effective dates of mergers as an acquirer or a target; (2) announcement dates of stock
repurchase; and (3) announcement dates of joint ventures. We also obtain information from
several specific sources including the following: (4) CEO appointment dates from Execucomp;
(5) general meeting dates of shareholders from IRRC; (6) quarterly or annual earnings
announcement dates from I/B/E/S; (7) the date of accounting restatements from the Government
Accountability Office (GAO) website and Factiva10; and (8) the dates of filing class action
lawsuits from the Stanford Lawsuit Clearing House. After we remove all of the interview
observations that are confounded by these corporate events within 10 calendar days before or
after the CEO interviews, we are left with 2,375 interviews unconfounded by corporate events
(UCCE interviews, hereafter).
Among the UCCE interviews, some of them may still have been confounded by
informational events that were simply not captured by the list of databases above because the

10
Restatements up until 6/29/2006 are covered by the GAO database, and the restatements afterwards were hand-
collected by a Factiva news article search by giving generic key words like "restate,*" matching the company name
with CRSP universe, reading the article story, and choosing the first news article for each firm.
coverage of some of the databases are better for larger firms than smaller firms. Furthermore,
even if the interviews were truly unconfounded by major events, the interviews may have been
confounded by certain material information about the firm that could only be captured by
analyzing the content of the surrounding news articles, using computational linguistic techniques
as in Tetlock (2007). Therefore, we collect the surrounding news articles of each of the
unconfounded interviews over the period of seven days before and after the interviews from
Factiva. We require that the company name should appear in the title or the first paragraph of
the article. We confine our searches to Dow Jones Newswires, Major News and Business
Publications, Press Release Wires, and Reuters Newswires. Among the aforementioned UCCE
interviews, we find that 328 interviews are devoid of any surrounding news articles. These are
the “unconfounded” sample interviews – the ones that we can safely claim are free from any
informational impact of news articles or major events. For the rest of the UCCE sample, we
collect 38,078 news articles, whose linguistic contents are analyzed using General Inquirer,
following Tetlock (2007).
One may still argue that investors could capture information content from the linguistic
tone of the conversation between the anchor and the CEO in an interview, even if the interview
belongs to unconfounded sample. Therefore, for each of the interview script, we group the
words used by different speakers and analyze the content of the conversation of the CEO and that
of the anchor using General Inquirer. In contrast with Tetlock (2007), we utilize the “positive”
tone as well as “negative” tone, due to the assumption that the CEOs have every reason to appear
positive in the interview.
[Table I about here]

The data covers the CEO interviews over a 9.5-year period from June of 1997 to
December 2006. Panel A of Table I shows the breakdown of interviews by year and stock
exchange for all, UCCE, and unconfouned sample. Though the interviews frequency is rather
sparse before 1999, the interview observations are quite evenly distributed for the period since
1999. It also shows NASDAQ firms take up smaller portion as we move from all sample (58.6%)
to UCCE sample (49.7%) and to the unconfounded sample (47.3%). Panel B shows the
breakdown by the Fama-French size quintile prior to the interviews. As we move from the all
interviews to the UCCE interviews and finally to the unconfounded interviews, the firm size
distribution reverses. The distribution of the all interviews is more concentrated in the largest
quintile, and the distribution of UCCE interviews is more evenly distributed throughout the size
bins, despite the slight concentration in the largest size quintile. In contrast, the firm size
distribution of the unconfounded interviews is more concentrated in the smallest quintile. This
may be partially attributable to the empirical regularity that the corporate event database and
news media cover the larger firms better. The breakdown of interviews by book-to-market
quintile is shown in Panel C. Regardless of the sample specification, we find that the majority of
the firms are low book-to-market (growth) firms.
Panel D of Table I shows how many interviews are confounded by each major corporate
event. By far, 42.6% of the interviews are confounded by earnings announcement. Twenty
eight percent of the interviews are confounded by merger announcement. Panel E shows the top
five most frequently interviewed industries using the Fama-French 49 industry classification.
The software industry is by far the most frequently interviewed, regardless of the sample
selection, reflecting the high investor attention to Internet stocks since the late 1990’s. The
pharmaceutical industry is the second most popular industry for CEO interviews, also reflecting
investor attention to the bio-tech industry. Panel F shows the top five most frequently
interviewed firms.
IV. Results
IV.A. Event Study
In order to assess the impact of CEO interviews on security prices of sample firms, we
employ standard event study methodology and use the Fama-French 4 Factor model to measure
normal performance.11 For each sample observation, calendar time is converted to event time by
defining the date of the CEO interview as day 0. For the interviews that were aired after 3:30 pm,
we attributed the next trading day as the day 0 to incorporate the time the traders reflect on the
attention grabbing event to the buy or sell order.12 The beta coefficients of Fama French 4 factor
model are estimated over the estimation period of six months prior to the event (-150 through -31
trading days relative to event day). The discussion focuses on the event window of [-2, +10].
[Table II about here]
Table II shows our primary results.13 First, we find statistically and economically
significant stock price run-ups over the period until the dates of the CEO interviews and
reversals over the period following the interviews. The run-ups and reversals are larger in

11
We also use Fama-French 3 factor model, market model, and CAPM with both equal weighted and value
weighted market return. The results are robust and are available upon request.
12
Although we do not have the exact time stamp of the interview, we have the program title and the historic time
schedule of CNBC, which enabled us to figure out the time slots of the interviews.
13
To draw inferences about the average price impact of an event, abnormal return observations are aggregated
across securities and through time. Since CEO interview on CNBC takes place every day and the firms on the
interview differ markedly across several dimensions, it is quite likely that abnormal returns are cross-sectionally
correlated across securities, they have different variances across firms, and have event-induced variance increases.
We address these concerns using test statistics based on Boehmer, Musumeci, and Poulsen (1991) and verify that the
choice of alternate test statistics, such as t-statistics by Patell (1976) or Brown and Warner (1985), do not change our
results.
magnitude for the UCCE sample (ACAR [-2,-1] of 139 bps, ACAR [0] of 79 bps, and ACAR [1,
10] of -148 bps) than for the whole sample (ACAR [-2,-1] of 84 bps, ACAR [0] of 79 bps, and
ACAR [1, 10] of -108 bps). As far as the interview days’ abnormal returns are concerned, the
ACAR[0] of the unconfounded sample (83 bps) is larger than that of the UCCE sample (79.1 bps)
or that of the entire sample (78.6 bps). We find that the stock price response to media-driven
attention is only transitory. In addition, the results strongly suggest that the primary driver of the
run-ups and reversals surrounding CEO interviews on CNBC is the media-driven attention, not
information. Reversals (ACAR [1, 10] of -128bps) are also detected in the sample of no
surrounding news articles. In addition, the pattern of spike and reversal is commonly detected
across all samples.
One may question why we find significant run-up before the interview date. As we
interviewed one representative of the network, CNBC typically preannounce CEO interviews or
any interesting interviews one or two days prior to the day of actual airing. In case of Jim
Cramer’s Mad Money, they have “Game Plan” corner on every Friday, where he announces what
companies he would discuss in the coming week.
Whether the pattern of abnormal return is only observed for NASDAQ stocks or over the
period of internet boom is a valid concern because NASDAQ stocks were more volatile as we
observe in Figure 114. Therefore, we first divide the sample into NYSE/AMEX stocks versus
NASDAQ stocks. Figure 2 shows the cumulative abnormal return starting ten trading days prior

14
Figure 1 shows three things: (1) the NASDAQ composite index, (2) the NYSE composite index, and (3) the
viewership of the CNBC channel during the trading hour according to Nielsen Media. The viewership is also shown
in Figure 1, where we set the viewership as of the June 2, 1997 at 100 to show the time trend of CNBC viewership.
One thing to notice is that the viewership, our attention measure, starts to increase long before the Nasdaq boom,
and sustains a high level even until 2003.
to the interviews. Here again, we find that NASDAQ firms show a stock price response with
large magnitude, but NYSE/AMEX firms also show significantly positive run-ups and reversals.
In order to investigate whether the pricing pattern is unique to the dot-com boom period,
we further divide the sample into earlier period (1997~2001) and latter period (2002~2006). We
report the event study results in row 5 to 12 in Table II.
[Figure 1 and 2 about here]
We find that not only NASDAQ firms but also NYSE/AMEX firms show a consistent
stock price response pattern, across different subsamples. The only difference is that the
magnitude of the average cumulative abnormal return (ACAR) of the NASDAQ stocks is much
larger than that of the ACAR of the NYSE/AMEX stocks, which is a natural consequence of the
difference in firm size in different stock exchanges. For the UCCE interview sample in earlier
period, the ACAR [-2,-1] of NYSE/AMEX stocks is a significant 64 bps, while that of the
NASDAQ firms is 402 bps; the ACAR [0] of NYSE/AMEX stocks is a significant 68 bps, while
that of NASDAQ firms is 52 bps; the ACAR [1, 10] of NYSE/AMEX firms is a significant -106
bps, while that of NASDAQ firms is -302 bps. The ACARs of the latter sample period is smaller
in magnitude for each stock exchange, but they are consistent in terms of the direction and
significance. The only exception is that the ACAR [-2,-1] of the NYSE/AMEX stocks is
statistically insignificant yet positive +9 bps.
One may argue that the short run overreaction to the CEO interviews on CNBC is largely
driven by tech stocks due to the investors’ enthusiasm about tech sector. Thus, we divide our
sample into tech stocks and non-tech stocks in two different ways and test whether the result is
robust throughout all the subsamples. The first tech stock classification is narrowly defined as
the stocks whose 3 digit SIC code is 737 (computer programming and data processing). The
second tech stock classification is more broadly defined as the stocks whose Fama-French 49
industry classification numbers belongs to 22, 32, 35, 36, or 37 (Electrical Equipment,
Telecommunication, Computer Hardware, Computer Software, and Chips and Electronic
Equipment, respectively). As shown in lines 14~21 in Table II, the pricing pattern is commonly
observed throughout the subsamples. Though the tech stocks show larger magnitude of run-up
and reversal, the non-tech stocks also demonstrate economically and statistically significant run-
up and reversal. In Appendix, we show the event study results by various subsample groupings,
such as day of the week of the interview, month of the interview, year of the interview. We also
present consistent pricing pattern for the interviews in different time segment, and the interviews
confounded by merger announcements or earnings announcements in the appendix.
IV.B. Trading Activity
The stock price evidence described in the previous subsection suggests that some traders
revise their beliefs in response to CEO interviews on CNBC. Trading volume captures
differential belief revisions among traders (Beaver, 1968). When all traders revise their beliefs
so they are the same, the price movement is parallel and there is no volume reaction. On the
other hand, when investors disagree in their belief about the firm, the trading volume jumps up
(Miller, 1977). Also, abnormally high trading volume itself attracts the attention of investors
(Barber, Odean, and Zhu, 2008), and may increase visibility of the firm. Therefore, we
investigate whether the same pattern of spike and reversal is consistently observed for the cases
in which the trading volume is high (low) on the day of the interview, and high (low) over the
three trading days prior to the interview. To determine whether the stock was under high trading
volume or not, we estimate the mean and standard deviation of share turnovers (trading volume
divided by the number of shares outstanding) over the estimation window of [-150, -31] trading
days for each stock. On the day of an interview, we obtain the turnover of the shares and
standardize the turnover by subtracting the mean and dividing by the standard deviation. We
obtain the cross-sectional distribution of the standardized turnover of stocks across the total
sample. We then classify the stock as a high event day [0] turnover stock if the standardized
turnover is greater than or equal to the median of the distribution, and a low event day turnover
stock, otherwise.
We do the same for the share turnover throughout the three trading days prior to the
interview to determine whether or not the stock is a high turnover stock over the pre-event
window of [-3,-1]. Here, we treat the non-overlapping three trading day interval as one time
interval. Therefore, over the estimation window of [-150, -31] trading days, we have 40 non-
overlapping intervals. For each interval of trading days, we aggregate the number of shares
traded by the total number of shares outstanding. Next, we estimate the mean and standard
deviation of the aggregated three-day volumes. Then for the three trading days prior to each
CEO interview, we obtain the aggregated turnover and standardize it using the mean and
standard deviation from the estimation window.
TO3i  TO3i
STV 3i  ,  3
 TO 3i

t 2
j t
Volij
TO3it  , t  150,147,144,...,33
# sharesOuts tan ding i
where i is an index of firm, and  and t are trading days relative to the event day.
Over the cross-sectional distribution of the standardized three-day turnover, we determine
whether the stock has a high pre-event day turnover or not, using the median.
The results are shown in Panel B of Table II. Even when the standardized turnovers of
the stocks are low in both the pre-event and the event-day windows, the stock price run-ups and
reversals are consistent and significant. One exception is when a high abnormal trading volume
over the pre-event window is followed by a low abnormal trading volume. In such cases, we
find insignificant spike on the day of the interview, but we still find significant run-up and
reversal. Therefore, the price response to the media driven attention does not appear to be a
function of the degree of investor disagreement as in Miller (1977).
IV.C. Attention vs. Information content of CEO interviews
The most important distinction we need to make is to find whether the pricing pattern we
find is attributable to the media attention or the information content of the interviews. The first
evidence in support of the attention hypothesis is the event study result of the unconfounded
sample. The evidence in this subsection gives another support. The idea is based on the
assumption of diminishing marginal attention to interviews: Investor attention to an interview
would be the largest for the first-time CEO interview of any company, and the marginal attention
that a subsequent interview draws would diminish as the company accumulates more CEO
interviews over time. Therefore, if the attention is the primary driving force behind the stock
price response we report, the magnitude of the abnormal return would diminish as the ordinal
number of the interviews for a company increases from first to second to third, etc. Figure 3
shows exactly this point. The magnitude of ACAR [-10,t] is the largest for the first-time
interview group and then diminishes as the sample becomes the second/third-time interview, and
fourth to ninth interviews. The sample of tenth or more interviews does not even receive
significant price response.
[Figure 3 about here]

One alternative hypothesis we investigate in this subsection is that the stock price pattern
we document is driven by qualitative information, not attention, disseminated in various forms
over the event window. Such qualitative information that are hard to quantify are known to be
priced (Tetlock 2007, Tetlock, Saar-Tsechansky, and Macscassy, 2008). Therefore, we follow
the literature and analyze using multiple regression framework in the subsection below. We
examine whether our attention measure is consistently associated with the pricing pattern,
controlling for information content and informational environment of the stock.
As a measure of investor attention, we use the daily viewership data from the Nielsen
Media Research over the ten-year period. Due to the prohibitively high cost of the data, we use
the viewership of CNBC in three time segments for each trading day: before trading hours
(6am~9:30am Eastern Standard Time and 4:00~9:30am when available), trading hours
(9:30am~4:00pm), and after trading hours (4:00pm~2:00am the following calendar day). Just as
we attribute the after-hour interviews to the next trading day, we attribute the viewership of the
after-hour interviews to the following trading day. The viewership of non-trading days is
ignored in this analysis.
IV.C.2. Capturing Information through Content Analysis of the Interviews
Tetlock, Saar-Tsechansky, and Macscassy (2008) find that the linguistic tone (negative)
of news articles contains significant information content that can systematically affect stock
prices, which is not easily quantified by hard information. In the same spirit, the linguistic tone
of the surrounding news articles and that of the CEO interview conversations by both the
interviewer and interviewee may carry significant information content. Following Tetlock
(2007) we use the computational linguistic technique of General Inquirer. The method is largely
a word-counting system based on the objectively defined word categories in the Harvard IV
dictionary in psychology. It has 187 different word categories, and we focus on “Positiv” and
“Negativ,” which stands for positive, and negative, respectively.
News articles: For each of the UCCE interviews, we specify a date range of seven
calendar days before and after the interview. For each firm and each date range, we aggregate
the word count of all the news articles. We also aggregate the word count of Negativ (positiv)
word category for each firm and each date range. We first compute the proportion of negative
(positive) words by dividing the aggregate word count of negativ (positiv) words by the
aggregate word count of all the news articles for the interview firm in the specific date range.
Then, for the cross-section of all the interview firms, we estimate the mean and standard
deviation of the proportion of negativ (positiv) words. Then we standardize the proportion of
negativ (positiv) words.
NegativWordCounti ,[ 7 , 7 ]
Negativi ,[ 7 , 7 ] 
TotalWordCounti ,[ 7 , 7 ]
Negativi ,[ 7 , 7 ]   Negativ
StdNegativi ,[ 7 , 7 ]  [ 7 , 7 ]
 Negativ [ 7 , 7 ]
where i is an index for the firm, and [-7,+7] represents a specified date range of the news
articles relative to the event day. In the regression of CAR[0], we use a date range of [-7,0]. In
the regression of CAR[1,10], we use a date range of [-7,+7]. An analogous computation is done
for the words in “positiv” category. We also aggregate the word count of the news articles and
standardize in the same manner.
Interview scripts: We conduct more content analysis for the transcripts of interview
conversations than for the news articles. First, we split each interview script into the CEO script
versus the host (anchor) script by comparing the names of the speakers on the transcript. Then
we analyze the content of the CEO script and host script separately, because the linguistic
content of the interviewer and interviewee would affect the stock price of the firm differently.
For example, a negative tone by a CEO may depress the stock price due to the information
content, but a negative tone by an anchor may have no effect on the stock price due to the
audience’s understanding of the journalist’s role to be critical in the first place.
One novel feature of the transcript data is that it records various non-verbal
communication of the speakers. Therefore, we use some of them as measures of attention for the
viewers. If the CEO shows more confidence by laughing in the interview, the viewers may be
more excited about the firm. On the other hand, if the CEO appears as a poor presenter by
stuttering or pronouncing inaudible or unintelligible words, or by being a lengthy presenter, then
the viewers may be disappointed. Thus, we proxy the positive attention of the CEO with the
dummy variable that is one if the CEO laughed in the interview. The transcript shows when the
CEO laughed in the interview by recording as “(laughter)” in the middle of the sentences. We
have two proxies to measure the negative attention of the CEO in an interview. The first is how
many times the CEO stutters or hesitates. The transcript captures such stuttering and hesitating
with “......” or “--”. Some examples of stuttering of the CEO are “the …… the” and “we look at -
- we look at opportunities there now.” The hesitation of the speaker include “(inaudible) “and
“(unintelligible),” where the speaker is not clearly presenting his/her idea verbally. The second
proxy for negative appearance of the CEO is the word count of the CEO. Other things being
equal, longer answers shows lack of proficiency in presentation skill which would disappoint the
viewers, given the fast-paced nature of the television interviews15.
As long as the “appearance” of the CEO does not disseminate material information, but
generate extra attention for or against the company, the stock price response would be transitory.
Therefore, we predict that the coefficients of the excitement (disappointment) variables would be
positive (negative) in CAR[0] regression, and negative (positive) in CAR[1,10] regression.
For each linguistic measure except for the laughter dummy, we standardize across the
interview sample as follows:
CEONegativWordCount i
CEONegativi 
TotalCEOWordCount i
CEONegativi   CEONegativ
StdCEONegativi 
 CEONegativ
HostNegativWordCount i
HostNegativi 
TotalHostWordCount i
HostNegativi   HostNegativ
StdHostNegativi 
 HostNegativ
where i is the index of the firm, and  and  are taken from all interviews. We compute
analogous measures for the positive words and hesitation words and the total word count.

15
One may question that positive and negative appearance of the CEO may be a function of the performance of the
firm before the interview or on the day of the interview. However, the results are insensitive to whether we use the
residual value of the proxies after regressing the proxies on the prior performance or not. We find that the
correlation coefficients between the prior performance (Fama French 4 factor model’s alpha) and the laughter
dummy, Std. CEO % Hesitate, and Std. CEO word count are -0.01, -0.05, and -0.06, respectively. Moreover, the
result of high significance of the coefficient of the viewership is robust to whether I include or exclude these
variables.
IV.C.3. CAR Regressions
We use the following regression model where the dependent variables are the cumulative
abnormal return over the specified event windows.
CAR   1 Attention _ Variables   2 Information _ Variables   Firm _ Characteristics
Our primary attention measure is the viewership. As an alternative viewership measure,
we also obtain residual viewership from a regression in Table IV. The idea is that the viewership
of financial media would be mechanically correlated with the contemporaneous and lagged
market return and market wide trading volume, market-wide volatility proxied by VIX, the time
trend, and whether the trading day is Friday or not (Dellavigna and Pollet, 2009). Although the
result is stronger when we use the residual viewership, our discussion is focused on the result
with the raw viewership due to the easiness in interpreting the economic magnitude. We
hypothesize that the viewership is positively associated with CAR[0], and negatively associated
with CAR[1,10], as long as more attention causes overreaction and reversal under the
assumption that the CEO has every incentive to spin positively in the media interview. Our
secondary attention measures are CEO laughter dummy, hesitation word count, and CEO word
count as explained in the previous subsection.
[Table IV about here]
We have two sets of variables to capture information hypothesis. The first is the
information content captured by the linguistic content analysis, which is negative tone of CEO
interviews and that of news articles. The second variable for information story is the degree of
information asymmetry, proxied by the relative spread of the stock. If the CEO interviews
function as a conduit of information dissemination to the less advantaged uninformed investors,
the stock price response would be more permanent for firms with a high degree of information
asymmetry. That is, high information asymmetry firms would show no negative drift due to
reduced information asymmetry (Diamond and Verrecchia, 1991). Thus, the coefficient of the
spread would be positive and significant for the CAR [1,10], given that ACAR [1,10] is negative.
The relative spread of the stock is computed over an estimation window of [-80,-11] before the
interview. Using TAQ data, we compute the relative spread as the mean of the daily intraday-
average bid-ask spread normalized by the midpoint of the bid and ask price.
We also control for the firm characteristics, such as the limits to arbitrage, average share
turnover, firm age, size, and book-to-market. Limits to arbitrage is proxied by illiquidity
measure, and institutional ownership. Shleifer and Vishny (1997) argue that less liquid stocks
are difficult to arbitrage because there are fewer stocks available to trade in the market in the first
place. Therefore, illiquid stocks would deviate from the fundamentals with a larger magnitude
on the day of the interview, and would reverse back in a larger magnitude over a longer period.
Thus, we expect the illiquidity measure would be positively correlated with CAR[0], and
negatively correlated with CAR[1,10]. We use Amihud’s (2002) illiquidity measure. Since
short sellers borrow stocks from institutional investors, larger institutional ownership implies
lower limits to arbitrage, whereby a stock price response to attention may be smaller in
magnitude on the day of the interview, and more reversals after interviews due to the ease of
short sales.
We also control for the log of firm age, size, book to market, and the average share
turnover during the estimation window of [-150,-31]. We also control for industry fixed effects
using Fama –French 49 industry group dummies. Since the error terms in the regression may be
correlated among the interviews of the same firm and the interviews in the same month (we find
some seasonality in Panel B of Appendix Table II), we use a two-dimension clustered standard
error as in Petersen (2008).
[Table V about here]
The results primarily support the attention hypothesis, after controlling for the effects
coming from the information hypothesis. The coefficient of the viewership is positive and
significant in CAR[0] regression and negative and significant in CAR[1,10] regression. Starting
from the average viewership, one standard deviation higher viewership (254,000) makes the
CAR[0] 20 basis points higher and CAR[1,10] 36 basis points lower. When the CEO laughs in
the interview, stock is more likely to have a 51 basis points higher CAR[0] (t-stat=1.64). When
the CEO speaks one standard deviation more stuttering, the stock is more likely to have 21 basis
points lower CAR[0]. However, most of the price dip appears to be recovered over the next ten
trading days. Although the statistical significance is 1.52, the coefficient of CEO % Hesitate is
positive in CAR[1,10] regression. When the CEO speaks one standard deviation more words in
the interview, the stock is more likely to have 47 basis points lower CAR[0]. Interestingly, most
of the attention variables does not have significant impact on the overall negative drift in the post
event window, and the signs of the coefficients in CAR[1,10] regression is the opposite of those
of the coefficients in CAR[0] regression. In addition, the analogous attention measures of the
show host do not affect the stock price at all.
We also find supporting evidence for information hypothesis from our control variables.
The coefficient of the relative spread is positive and significant in CAR[1,10] regression. Firms
with one standard deviation higher spread (52 basis points) are more likely to have 66 basis
points higher CAR[1,10] (less reversal). We find that CEO interview works as an information
conduit for the firms that have higher information asymmetry. In Appendix, we find that stock
price response to the firms with lowest quintile of residual analyst coverage, which are supposed
to have higher degree of information asymmetry, experience a permanent jump in stock price
after CEO interviews.
The positive tone of CEO and that of the host appears to significantly increase the
interview date stock price response, but they do not seem to reduce the overall negative drift of
the stock price on the post event window. One standard deviation higher positive tone of the
CEO’s (host’s) interview conversation is associated with 28 (18) basis points higher CAR[0]. In
contrast with Tetlock (2007), the negative tone of the CEO or anchor or the news article do not
show significant predictive power of CAR[0] or CAR[1,10]. The content of surrounding news
articles in general do not show predictive power in any of the regressions except for the word
count of the articles in CAR[1,10] regression. One standard deviation larger word count of the
surrounding news articles are associated with 39 basis points less reversal. This result is
consistent with the findings in the literature that the news articles help the diffusion of
information across the investors.
We find that firms with high share turnover are more likely to have smaller CAR[0] and
more reversal after interview. We also find that younger firms are more likely to have reversals
than older firms, which suggests that viewers are more excited about younger firm’s CEO
interviews. Illiquid stocks are more likely to have larger magnitude of reversal after CEO
interviews. Stocks with one standard deviation higher illiquidity measure is likely to have -1.35%
more reversal in [1,10] event window. Compared to value firms, growth firms tend to have
higher CAR[0] and steeper reversal. In contrast, compared to larger firms, smaller firms are
more likely to have higher CAR[0] but less reversal. The negative and significant coefficient of
size in CAR[1,10] regression supports Merton’s (1987) visibility hypothesis. CEO interviews on
CNBC increases the investor recognition for small firms and increases the price level
subsequently, compared to large firms. One potential issue with the regressions in Panel A is
that the spread, firm age, and illiquidity measures are highly correlated with firm size. Therefore,
in Panel B, we first orthogonalize these measures with respect to firm size and use the residuals
in the final regressions. The results are robust.

IV.D. Individual Investors and Media-driven Attention
Barber, Odean, and Zhu (2008) find that individual investors buy attention-grabbing
stocks due to their limited choice set compared to the immense universe of stocks available.
Accordingly, we hypothesize that individual investors are net buyers of the stocks of CEO
interviews on the interview day, because media play by the top executive is one of the most
attention-grabbing pseudo-events for the firm. We test this hypothesis by following the trade
size-based classification in Barber, Odean, and Zhu (2008) 16. More specifically, using
microstructure data, we make different trade size bins depending on the dollar value of the trade,
using constant 1991 US dollar. Barber and Odean (2008) find that smallest trade size group
captures individual investors’ trades well for the period before the decimalization of NYSE in
May 2000. Thus, confining our sample period as before 2000, we test whether the order
imbalance is significantly high for the smallest trade size bin, especially for the unconfounded
interviews.
By using TAQ data, we first determine whether the order was buyer-initiated or seller-
initiated using the Lee Ready (1991) algorithm17. Since TAQ data are noisy for the first and last

16
Barber, Odean, and Zhu (2008) classify the trades into five different bins based on 1991 real dollars in the
following order: T <= $5,000 (Small trades), $5,000 < T <= $10,000, $10,000 < T <= $20,000, $20,000 < T <=
$50,000, and $50,000 < T (Large trades). Following them, we use the small trades as a proxy for individual investor
trades. We also use the trade size classification by Griffin, Harris, and Topaloglu (2003) as a robustness check.
They classify any trades that are less than or equal to 500 shares as small trades, and trades that are greater than
10,000 shares as large trades. They find that 63% of the small trades are either between an individual and another
individual or between an individual and a market maker, whereas 86% of the large trades are either between an
institution and another institution or between an institution and a market maker. Following them, we use small
trades as a proxy for individual investor trades.
17
This algorithm uses the quote test first (buy if the quoted price is higher than the mid-point of the bid and offer),
and then uses the tick test (buy if the current quoted price is higher than the lagged quoted price) if the quote test is
inconclusive. We also tried Ellis, Michaely, and O’Hara’s (2000) algorithm for Nasdaq stocks, but the result is
insensitive.
30 minutes of sessions (McInish and Wood, 1992), we work with the TAQ data over the time
interval between 10:00 am and 3:30 pm EST. We aggregate the buyer (seller) initiated volume
by trade size on each day for each stock over an estimation window of 70 trading days that ends
on the 11th trading day prior to the CEO interview, i.e., [-80, -11]. We also aggregate the buyer
(seller) initiated volume by trade size on the event day for each stock. Then we compute the
order imbalance by trade size group by subtracting the seller initiated dollar volume from the
buyer initiated dollar volume divided by the market capitalization of the firm based on the end of
the day share price and the total number of shares outstanding in 1,000 share unit. First, we
compute the average order imbalance of the event day and compare the order imbalance by the
size group and by the kind of interview sample on Panel A of Figure 4. Simple t-test shows that
the order imbalance of the smallest trade size group are all significantly positive (0.009 (t-
stat=3.77) in all interviews, 0.009(t-stat=2.31) in UCCE, and 0.012 (t-stat=1.86) in
unconfounded interviews). The economic magnitude of the order imbalance of the smallest trade
size group is the largest for unconfounded interviews. In contrast, the order imbalance of the
other trade size groups are statistically insignificantly different from zero at conventional
significance level. In Panel B, we show average standardized order imbalance of each trade size
group by the kind of interviews, where the standardization is done with the mean and standard
deviation we obtain from the estimation window.
For the sake of simple presentation, we label the smallest trade size group as individual
investors’ trades, and we aggregate the trading volume by the other trade size groups and label it
as institutional investors’ trades. We repeat the order imbalance study and the result is shown in
Panel C and D. Overall, the evidence supports our hypothesis that individual traders are the net
buyers of the media driven attention drawing events, while institutional investors are weakly net
sellers. In appendix, we show a volume event study result by the trade size group and by
whether the trade is buyer initiated or seller initiated. We also try the same volume study with
trade size based classification by Griffin, Harris, and Topaloglu (2003). The results are
consistent.
IV. E. Short Selling Surrounding CEO Interviews
Given that we find systematic price run-ups and reversals surrounding CEO interviews
driven by uninformed individual investors, one natural question is whether rational investors take
advantage of this pricing pattern and short-sell the stock as they watch CNBC. Using the
RegSHO data set of NYSE TAQ, we address this question in this subsection. In order to study
whether removing the short-sale constraint of the up-tick rule in NYSE increases the volatility of
the stocks, the Securities Exchange Commission (SEC) randomly chose one thousand stocks
from the Russell 3000 Index and lifted the up-tick rule (bid price rule) from May 2005 to
December 2006. These stocks are labeled “Pilot stocks.” The RegSHO data set, therefore,
provides transaction-level information about how many stocks are sold short. For more detailed
information about RegSHO, please refer to Diether, Lee, and Werner (2005).
We hypothesize that more attention grabbing CEO interviews on financial media prompts
more short selling, because a stock price run-up and reversal is are larger in magnitude for such
interviews. We also hypothesize that the Pilot stocks in RegSHO have larger magnitude of short
sales than non Pilot stocks on CEO interview days, because of the lifting of the up-tick rule. We
have three attention variables: (i) the viewership; (ii) the dummy variable that is one for the first-
time interview of each company; and (iii) CAR[0]. The CAR[0] works as an attention measure,
because an extremely high abnormal return on the day of TV interviews may draw the attention
of the individual investors (Barber and Odean, 2008). We analyze short turnover measure,
defined as the short-selling volume divided by the total number of shares outstanding multiplied
by 1,000, on the day of the CEO interview. For a thorough analysis of short turnover related to
CEO interviews, we run multiple regressions. In addition to the aforementioned attention
measures, we use the dummy variables for celebrity show hosts such as Jim Cramer and Maria
Bartiromo. Jim Cramer is famous for attention drawing presentation style, such as breaking
chairs and bringing chainsaws (Engelberg, Sasseville, and Macscassy, 2010). At the same time,
he has solid career background as a trader at Goldman Sachs, which would suggest that his
interviews may not only be attention grabbing, but also be informative. Maria Bartiromo,
despite her arousing nickname of Money Honey, has a reputation that her stock recommendation
receives instant and permanent stock price response (Busse and Greene, 2002). We interact the
celebrity anchor dummies with first time interview dummy to investigate whether certain special
effect of the celebrity anchor is confined to the first time interviews. We also control for
illiquidity, because illiquid stocks are harder to arbitrage due to the lack of stocks available for
lending (Shleifer and Vishny, 1997). We also control for institutional ownership because the
stocks of high institutional ownership are easy to borrow from the institutional investors. We
also control for idiosyncratic volatility, partly because it is one of the factors in limits to arbitrage.
However, given that most of the stocks in this sample are NYSE large cap stocks, we believe that
the stocks may be liquid enough to arbitrage, so we believe higher idiosyncratic volatility may
create more opportunity for the short sellers. Lastly, we control for the cases where the interview
is confounded by major corporate events. The result is shown in Table VI.
[Table VI about here]

Most importantly, we find that more attention-grabbing interviews are associated with
more short-selling volume. First-time interviews receive 20 basis points more short-turnovers (t-
stat=1.94~2.6). One percentage point higher CAR[0] is associated with 2 basis points higher
short turnover, other things being equal, with the t-stat ranging from 2.16~2.28. Bartiromo’s
interviews receive significantly less short selling volume, especially when they are first time
interviews for the firms. A part of the reason may be due to her informative presentation content.
One may anticipate that Cramer’s interviews would attract more short selling volumes due to his
attention grabbing style, but those are primarily the first time interviews (66 basis points higher
short turnover). The rest of the interviews by Cramer receive significantly lower short selling
volume, which suggests that the investors take Cramer’s analyses and interviews have some
information content. We also find that CEO interviews of illiquid stocks receive less short
selling volume, which is consistent with Shleifer and Vishny (1997). The result also suggests
that the CEO interviews of the stocks that are easier to borrow from the institution; those of the
stocks that have high idiosyncratic volatility; those of the Pilot stocks; and those confounded by
major corporate events are more likely to attract short selling volume. In appendix, we explore
profitable trading strategies based on CEO interviews on CNBC under various transaction cost
assumptions.
VI. CONCLUSION
Large stock price movements without any apparent news have long been puzzling to
financial economists. Since Shiller’s (1981) classic account of a mismatch between news and
stock price movements, the apparent “excess volatility” in asset prices has been attributed to
noise trading, suggesting that investors may overreact to unobserved stimuli. Although the
financial news media has long been suspected of stimulating noise traders, empirical accounts
relating media-generated attention to stock returns and trading volume have only recently
increased. To analyze the role of the media on the price formation of stock prices, this paper
takes a closer look at how the market reacts to CEO appearance on CNBC. The substantial
discrepancy between the perceived and the actual information content, combined with the
enthusiasm created by CNBC and CEOs alike allow us to empirically test Merton’s (1987)
hypothesis about the price reaction to media generated attention.
Overall, our results only partially support Merton’s (1987) visibility hypothesis. In terms
of the partial support for Merton’s (1987) visibility hypothesis, we find that CEO interview
results in a permanent increase in price level only for the firms with abnormally low analyst
coverage. However, for the majority of the firms in the CEO interviews, we find robust pricing
pattern of run-up and reversal. We document a significant price increase 162 basis points and
higher trading volume on the day of the interview, but we find a subsequent price reversal of 108
basis points over the 10 trading days following the interview. The findings in this paper suggest
that the increased attention due to CEO interviews creates transitory buying pressure by
enthusiastic individual investors. These results partially support the conjecture that media
attention move stock prices away from fundamentals and the results are consistent with the
popular notion of media hype. However, in contrast to Huberman and Regev (2001), we find
that the price impact of media attention is only transitory.
Much of CNBC’s success is probably due to the fact that viewers consider it to be an
important source for breaking news. CNBC claims that viewers get the latest financial news as it
occurs which levels the playing field between individual and institutional investors by even-
handedly providing real-time information to its viewers. Nevertheless, the documented price
dynamics around CEO interviews are consistent with the notion that, on average, these
interviews do not contain new information. Investors may have to be more cautious about these
findings when considering whether to trade on supposedly “breaking news.”
Recent behavioral asset pricing models assume that individuals underreact to public news
and overreact to private information [e.g. Daniel, Hirshleifer, and Subramanyam (1998); Hong
and Stein (1999)]. In contrast, the findings in this paper suggest that individual investors
overreact to media-driven attention. If markets, in fact, under-react to corporate events and
overreact to media transmitted nonevents, one may find interesting implications for the
behavioral model mentioned above. Huberman (2001) document that investors prefer investing
in assets with which they are familiar, and Barber and Odean (2006) find that individual
investors are more likely to be net buyers of attention-grabbing stocks than are institutional
investors. Cohen, Gompers, and Vuolteenaho (2002) show that individual investors under-react
to positive cash flow news while institutions exploit the under-reaction pattern by buying shares
from individual investors. Conversely, we find that individual investors buy stocks after
watching CEO interviews on CNBC, whereas institutional investors are selling. Moreover, we
document significant short selling after interviews that are more attention drawing.
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Table I. Breakdown of CEO interviews
Note: All CEO interview observations were collected from Factiva. The number of observations is based
on the stocks whose returns on the day of the event were non-missing. For the interviews that took place
after 3:30 pm, the event day is recognized as the next trading day. The Un-Confounded by Corporate
Events (UCCE) sample is the interviews that are not confounded by major corporate events by +/- 10
calendar days. Major corporate events are (1) merger announcements/effective as an acquirer or a target;
(2) repurchases; (3) joint ventures from SDC Platinum; (4) CEO appointments by Execucomp; (5) general
meetings of shareholders by the IRRC; (6) quarterly or annual earnings announcements by I/B/E/S; and (7)
accounting restatements by the GAO. The unconfounded interviews are the UCCE interviews that do not
even have any news articles over the calendar days of +/-7 days of the interview. Size and book-to-
market quintiles are based on the Fama-French breakpoints at the end of each month prior to the interview.
The breakpoints of Fama-French size quintile and book-to-market quintile are obtained from Kenneth
French’s website.
Panel A. Breakdown of interviews by stock exchange and year
All UCCE Unconfounded

NYSE/ NYSE/ NYSE/
YEAR Nasdaq Nasdaq Nasdaq
AMEX AMEX AMEX
1997 81 155 46 113 10 26
1998 80 160 44 102 13 29
1999 361 354 99 133 20 18
2000 354 367 78 124 10 13
2001 516 426 125 146 13 16
2002 653 353 183 124 34 23
2003 518 285 152 112 16 19
2004 434 266 124 111 12 8
2005 641 297 203 131 19 9
2006 426 210 127 98 8 12
Total 4064 2873 1181 1194 155 173
% 58.58 41.42 49.73 50.27 47.26 52.74
Panel B. Breakdown of interviews by Fama-French size quintile
Size Quintile Total

1 2 3 4 5
All N 713 798 1068 1399 2959 6937
% 10.28 11.5 15.4 20.17 42.66 100
UCCE N 471 393 419 456 636 2375
% 19.83 16.55 17.64 19.2 26.78 100
Unconfounded N 106 70 55 55 42 328
% 32.32 21.34 16.77 16.77 12.8 100
Panel C. Breakdown of interviews by Fama-French BEME quintile
BEME Quintile Total

Negative Low 2 3 4 High
All N 226 3187 1322 962 650 560 6907
% 3.27 46.14 19.14 13.93 9.41 8.11 100
UCCE N 112 1038 437 337 234 208 2366
% 4.73 43.87 18.47 14.24 9.89 8.79 100
Unconfounded N 9 136 70 36 42 35 328
% 2.74 41.46 21.34 10.98 12.8 10.67 100
Panel D. Confounding events and CEO interviews
Confounding Events Frequency %

Earnings Announcement 2956 42.6
M&A 1954 28.2
Joint Venture 942 13.6
General Meeting 311 4.5
Repurchase 171 2.5
CEO appointment 52 0.7
Restatement 38 0.5
Lawsuit 9 0.1
Panel E. Most frequently interviewed industries
Sample: All Sample UCCE Unconfounded

Rank Industry % Industry % Industry %
1 Software 12.31 Software 11.07 Software 10.67
2 Pharmaceu 7.1 Pharmaceutical 8.59 Business Svc 6.1
3 Chips 6.52 Retail 6.19 Retail 6.1
4 Retail 5.7 Business Svc 6.02 Financial 6.1
5 Business S 5.31 Financial 5.98 Machinery 4.57
Panel F. Most frequently interviewed CEOs
Rank CEO Name Firm Name Frequency

1 Margaret C. Whitman EBAY INC 45
2 John T. Chambers CISCO SYSTEMS INC 42
3 William C. Steere, Jr. PFIZER INC 39
4 Philip M. Condit BOEING CO 37
5 Michael R. Splinter APPLIED MATERIALS INC 36
5 James A. Johnson FEDERAL NATIONAL MORTGAGE ASSN 36
Table II. Event study result
The Carhart 4 factor model (Rm-Rf, SMB, HML, UMD) was used as the asset pricing model. The estimation window was [-150, -31] trading
days prior to the CEO interviews. Average cumulative abnormal returns are displayed in the unit of basis point. T-statistics by Boehmer,
Musumeci, and Poulsen (1991) are employed to control for event-induced volatility changes. UCCE interviews are the CEO interviews that are
unconfounded by major corporate events. Unconfounded interviews are the UCCE CEO interviews that are not even confounded by any news
articles. The tech stock in the third panel is defined in two different ways. The first classification of tech stock is whether the 3 digit SIC code
is 737 or not, and the second classification is whether the Fama-French 49 industry grouping of the firm is one of the following code or not: 22,
32, 35, 36, or 37 (Electrical Equipment, Telecommunication, Computer Hardware, Computer Software, and Chips and Electronic Equipment,
respectively).
Panel A.
Asset pricing model: Carhart 4 factor model

Sample Group [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N
All 83.6 7.41 78.6 9.84 -107.6 (6.66) 6937
UCCE 139.3 4.64 79.1 6.25 -148.2 (5.62) 2375
Unconfounded 68.2 2.16 82.7 3.30 -127.8 (2.36) 328
Time Period Stock Exchange
All 1997~2001 NYSEAMEX 30.7 1.36 74.0 4.78 -76.3 (1.73) 1393
NASDAQ 258.5 4.94 104.3 4.20 -265.9 (4.81) 1460
2002~2006 NYSEAMEX 23.5 3.85 45.0 5.96 -43.6 (3.65) 2674
NASDAQ 68.7 3.96 120.0 4.81 -94.9 (3.26) 1409
UCCE 1997~2001 NYSEAMEX 64.0 2.34 68.4 3.21 -105.8 (1.86) 393
NASDAQ 402.8 3.45 51.6 1.72 -302.1 (3.19) 616
2002~2006 NYSEAMEX 9.1 0.44 27.4 3.01 -47.9 (2.24) 790
NASDAQ 87.8 2.67 186.7 4.55 -147.2 (4.10) 575
Tech stock definition
SIC737 All Tech Stock 120.3 2.92 139.1 4.14 -255.0 (4.51) 897
Non Tech 78.1 6.84 69.6 8.95 -85.8 (5.48) 6040
UCCE Tech Stock 214.4 2.42 129.2 2.88 -372.3 (3.32) 274
Non Tech 129.5 4.17 72.6 5.76 -119.0 (4.80) 2101
FF49 All Tech Stock 90.3 3.66 119.7 6.03 -167.4 (4.94) 2110
Non Tech 80.6 6.44 60.6 7.82 -81.5 (4.81) 4827
UCCE Tech Stock 148.6 2.46 145.0 5.24 -242.2 (3.62) 630
Non Tech 135.9 4.00 55.3 4.48 -114.3 (4.42) 1745
Panel B. Event study result by share turnover
To determine whether the stock was under high trading volume or not, we estimate the mean and standard deviation of share
turnovers (trading volume divided by the number of shares outstanding) over the estimation window of [-150, -31] trading days for
each stock. On the day of an interview, we obtain the turnover of the shares and standardize the turnover by subtracting the mean
and subsequently dividing by the standard deviation. We obtain the cross-sectional distribution of the standardized turnover of
stocks across the total sample. We then classify the stock as a high event day [0] turnover stock if the standardized turnover is
greater than or equal to the median of the distribution, and a low event day turnover stock, otherwise. We do the same for the share
turnover throughout the three trading days prior to the interview to determine whether or not the stock is a high turnover stock over
the pre-event window of [-3,-1]. Here, we treat the non-overlapping three trading day interval as one time interval. Therefore, over
the estimation window of [-150, -31] trading days, we have 40 non-overlapping intervals. For each interval of trading days, we
aggregate the number of shares traded by the total number of shares outstanding. Next, we estimate the mean and standard
deviation of the aggregated three-day volumes. Then for the three trading days prior to each CEO interview, we obtain the
aggregated turnover and standardize it using the mean and standard deviation from the estimation window.
TO3i  TO3i
STV 3i  ,  3
 TO 3 i

t 2
j t
Volij
TO3it  , t  150,147,144,...,33
# sharesOuts tan ding i
where i is an index of firm, and  and t are trading days relative to the event day. Over the cross-sectional distribution of
the standardized three-day turnover, we determine whether the stock has a high pre-event day turnover or not, using the median.
Abn.turnover Abn.turnover
Sample [-3,-1] [0] [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N
All High High 198.9 5.81 129.8 6.89 -167.0 (4.99) 2309
High Low 57.9 4.78 -8.3 (0.69) -87.5 (3.09) 1158
Low High 8.6 0.75 158.5 5.81 -89.6 (1.65) 1159
Low Low 18.7 2.14 30.8 5.77 -67.4 (3.00) 2311
UCCE High High 476.4 4.12 177.8 4.36 -204.7 (3.31) 614
High Low 42.3 2.32 0.7 0.39 -163.1 (2.87) 472
Low High -6.7 (0.23) 205.4 3.83 -203.4 (1.10) 243
Low Low 18.9 1.14 27.2 3.24 -95.5 (3.44) 1046
Table III. Summary statistics and correlation table
Viewership of CNBC from 4 pm of the trading day t to 2 am of the trading day t+1 is recognized as the viewership of the trading day t+1.
Viewership is in the unit of thousand people, and is from Nielsen Media Company. Spread is the average relative spread of the firms over the
estimation window of [-80,-11] trading days. The relative spread of each day is computed as the mean of the bid-ask spread divided by the
midpoint for each trade in the TAQ data. Firm age is the year of the interview minus the minimum of the two: the first year that the company
appeared in Compustat or the first year the company appeared in CRSP. Inst. Ownership is the institutional ownership obtained from Thomson
Financial 13F database. Avg. Turnover is the average number of shares traded divided by the total number of shares outstanding over the
estimation window of [-150, -31] trading days before the interview. Illiquidity is mean adjusted illiquidity measure by Amihud (2002). For
each trading day, we take the absolute value of the return divided by the total dollar volume of the stock. Then over the one-year period prior to
the interview, we take the average illiquidity of the stock and divide it by the average of the illiquidity measure of all the stocks in the CRSP
universe over the same period. Size:Log(MVE) is the log of the market value of equity as of the fiscal year end prior to the interview. CEO
Negative is the standardized relative word count of negative words in a CEO’s conversation in the interview, using Harvard IV dictionary,
where the standardization was done across the whole sample of CEO interview scripts. Article Negative is the standardized relative word count
of negative words in the surrounding news articles over the specified calendar date range associated with the CEO interview, where the
standardization was done across the UCCE interviews.
Panel A. Summary statistics
Variable Obs Mean Std.Dev. 25th Median 75th

Viewership 7676 712 254 537 716 890
Spread 3843 0.0041 0.0052 0.0014 0.0023 0.0048
Institutional Ownership 6600 0.6046 0.2358 0.4714 0.6387 0.7818
Average turnover 7245 0.0139 0.0360 0.0044 0.0080 0.0157
Firm Age 7659 30.6219 18.8247 15.0000 20.0000 39.0000
Illiquidity 7194 0.0028 0.0065 0.0001 0.0003 0.0014
BEME 7703 0.5783 1.6528 0.1123 0.2783 0.5185
Size:Log(MVE) 7345 8.1462 1.9480 6.8270 8.1359 9.5208
Panel B. Correlation table
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) (16) (17) (18)
(1) Viewership 1.00

(2) Spread 0.29 1.00
(3) Institutional Ownership -0.21 -0.37 1.00
(4) Average turnover 0.04 -0.06 -0.03 1.00
(5) Firm Age -0.15 -0.23 0.22 -0.15 1.00
(6) Illiquidity 0.03 0.66 -0.38 -0.03 -0.24 1.00
(7) BEME -0.05 0.03 0.10 0.02 -0.01 0.11 1.00
(8) Size:Log(MVE) -0.05 -0.52 0.21 -0.10 0.46 -0.62 -0.16 1.00
(9) 1{CEO Laughed} -0.18 -0.03 -0.02 -0.01 0.00 0.04 0.00 -0.02 1.00
(10) Std. CEO % Hesitate -0.13 0.01 -0.01 -0.03 -0.01 0.07 0.05 -0.04 0.08 1.00
(11) Std. CEO Word Count -0.12 0.30 -0.16 -0.03 -0.03 0.22 0.00 -0.13 0.23 0.19 1.00
(12) Std. CEO Positive -0.07 -0.06 0.04 0.00 -0.03 -0.02 -0.02 -0.01 -0.02 -0.05 -0.08 1.00
(13) Std. CEO Negative -0.18 -0.09 0.06 -0.04 0.10 -0.03 0.00 0.02 0.00 0.02 0.06 -0.03 1.00
(14) Std. Host Word Count 0.10 0.23 -0.21 -0.01 -0.04 0.16 -0.02 -0.06 0.16 0.07 0.50 -0.05 -0.07 1.00
(15) Std. Host Positive -0.28 -0.06 0.06 -0.02 0.00 0.03 -0.01 -0.03 0.08 0.04 0.08 0.18 0.13 -0.05 1.00
(16) Std. Host Negative 0.01 -0.04 0.03 0.00 0.05 -0.06 0.02 0.05 -0.05 -0.02 -0.01 0.06 0.27 -0.05 -0.03 1.00
(17) Std. Articles Word Count -0.10 -0.11 0.03 -0.02 0.10 -0.08 0.17 0.21 0.02 0.02 -0.03 0.02 0.04 0.01 0.05 0.06 1.00
(18) Std. Articles Positive -0.03 -0.16 0.07 0.00 0.00 -0.06 -0.03 0.04 -0.07 -0.05 -0.19 0.11 0.03 -0.11 0.06 0.01 -0.01 1.00
(19) Std. Articles Negative -0.03 -0.08 0.02 -0.02 0.10 -0.07 0.03 0.13 -0.05 0.01 -0.04 -0.02 0.17 -0.01 0.03 0.12 0.14 0.05
Table IV. Viewership regression to obtain residual viewership
OLS regression is used. The dependent variable is the trading day adjusted viewership of CNBC
by Nielsen Media Company. The viewership from 4 pm of the trading day t to 2 am of the
trading day t+1 is recognized as the viewership of the trading day t+1. Viewership is in the unit
of thousand people. The S&P 500 Return (t) is the index return on trading day t. CRSP
Aggregate Turnover is the total number of shares traded on each trading day divided by the
aggregated total shares outstanding in CRSP. VIX is the implied volatility of the S&P 500 index
options obtained from Yahoo!Finance. Time trend is the number of month since the beginning of
the viewership data. 1{Friday} is a dummy variable that is one if the interview day was Friday.
The t-statistic is shown in every second line. *, **, and *** indicates statistical significance at the
10%, 5%, and 1% level, respectively.
Dependent Variable: Adjusted Viewership (t)

S&P500 Return (t) 1235.8734 ***
(4.01)
S&P500 Return (t-1) 870.40921 ***
(2.82)
CRSP Aggregate Turnover (t) 34793 ***
(9.2)
CRSP Agg. Turnover (t-1) 24808 ***
(6.54)
VIX 8.75422 ***
(11.73)
Time Trend -0.26966
-(.58)
Time Trend Squared -0.04051 ***
-(10.26)
1{Friday} 0.73443
(.08)
Intercept 321.51406 ***
(13.5)
N 2410
Adj.R2 0.5457
Table V. Stock price response to CEO interviews on CNBC: Attention vs.
information
Dependent variable is the percentage figure (*100) of cumulative abnormal return (CAR) for the
respective event window. Industry fixed effects are used based on the Fama-French 49 industry
groups. T-statistics reported on every second line are based on the two-dimension clustered
standard errors (firm and month of the interview). Viewership in Panel A is the residual of
regression in Table IV. Spread is the average relative spread of the firms over the estimation
window of [-80,-11] trading days. The relative spread of each day is computed as the mean of the
bid-ask spread divided by the midpoint for each trade in the TAQ data. If the TAQ data is
missing, the spread value is assumed to be zero in the regression, and takes the value of 1 for the
dummy variable of 1{spread missing}. Firm age is the year of the interview minus the minimum
of the two: the first year that the company appeared in Compustat or the first year the company
appeared in CRSP. Inst. Ownership is the institutional ownership obtained from Thomson
Financial 13F database. Avg. Turnover is the average number of shares traded divided by the
total number of shares outstanding over the estimation window of [-150, -31] trading days before
the interview. Illiquidity is mean adjusted illiquidity measure by Amihud (2002). For each
trading day, we take the absolute value of the return divided by the total dollar volume of the
stock. Then over the one-year period prior to the interview, we take the average illiquidity of the
stock and divide it by the average of the illiquidity measure of all the stocks in the CRSP universe
over the same period. Size:Log(MVE) is the log of the market value of equity as of the fiscal
year end prior to the interview. CEO Negative is the standardized relative word count of negative
words in a CEO’s conversation in the interview, using Harvard IV dictionary, where the
standardization was done across the whole sample of CEO interview scripts. Article Negative is
the standardized relative word count of negative words in the surrounding news articles over the
specified calendar date range associated with the CEO interview, where the standardization was
done across the UCCE interviews. The date ranges of surrounding news articles are specified as
follows: if the dependent variable is CAR[0], the date range of the news articles is [-7,0] calendar
days relative to the interview date. If the dependent variable is CAR[1,10], the date range is [-
7,7] calendar dates relative to CEO interviews. If the interview is confounded by major corporate
events or not confounded by any news articles, then all the standardized linguistic measures are
assumed to be zero. 1{confounded interviews} takes the value of unity if the interview is
confounded by major corporate events by +/-10 calendar days. The t-statistic is shown in every
second line. *, **, and *** indicates statistical significance at the 10%, 5%, and 1% levels,
respectively.
Panel A. CAR regressions.
Economic Economic
Regression Regression Regression Regression
magnitude magnitude
CAR[0] ΔCAR[0] CAR[1,10] ΔCAR[1,10] CAR[0] CAR[1,10]
Viewership 0.0008 ** 0.20 -0.0014 ** -0.36
(1.98) (-2.2355)
Residual Viewership 0.0018 *** -0.0014 ***
(3.35) (-4.3913)
Spread 38.2766 155.6862 *** 0.66 43.0268 138.603 ***
(0.98) (2.83) (1.15) (2.75)
1{Spread missing} 0.3053 0.3603 0.3774 0.1828
(0.97) (1.10) (1.17) (0.64)
Institutional Ownership 0.5278 -0.3821 0.4553 -0.1929
(1.02) (-0.3433) (0.91) (-0.1673)
Avg. Turnover -9.2846 * -0.33 -19.3973 ** -0.70 -9.5375 * -19.072 **
(-1.8958) (-2.3543) (-1.9135) (-2.3599)
Frim Age 0.007 0.0205 *** 0.39 0.007 0.021 ***
(1.44) (2.95) (1.47) (3.07)
Illiquidity 1.4895 -209.6876 *** -1.35 -3.2726 -202.1991 ***
(0.05) (-5.7525) (-0.1163) (-5.6922)
BEME -0.1373 *** -0.23 0.109 ** 0.18 -0.1403 *** 0.1107 **
(-3.4751) (2.00) (-3.4157) (2.05)
Size: Log(MVE) -0.423 *** -0.82 -0.2411 ** -0.47 -0.4397 *** -0.2277 **
(-4.3790) (-2.5552) (-4.5849) (-2.4487)
1{CEO laughed} 0.5087 -0.2416 0.474 -0.11
(1.64) (-0.4205) (1.56) (-0.1883)
Std.CEO % Hesitate -0.2114 *** -0.21 0.169 -0.2208 *** 0.1862 *
(-3.3313) (1.52) (-3.5587) (1.70)
Std. CEO Word Count -0.5016 *** -0.47 0.3118 -0.4629 *** 0.3194
(-4.6348) (1.36) (-4.7659) (1.39)
Std. CEO Positive 0.3129 ** 0.28 -0.1303 0.3016 ** -0.1039
(2.18) (-0.7945) (2.10) (-0.6306)
Std. CEO Negative -0.1161 0.1969 -0.1285 0.2332
(-1.4235) (1.01) (-1.5759) (1.20)
Std. Anchor % Hesitate 0.0232 0.0875 -0.0123 0.137
(0.28) (0.71) (-0.1548) (1.19)
Std. Anchor Word Count 0.158 0.0761 0.1683 * 0.0371
(1.57) (0.35) (1.79) (0.17)
Std. Anchor Positive 0.1904 * 0.18 0.0523 0.1854 * 0.095
(1.84) (0.30) (1.72) (0.57)
Std. Anchor Negative -0.0824 0.1017 -0.0661 0.0832
(-1.3866) (0.68) (-1.0769) (0.56)
Std. Articles Word Count 0.1594 0.3879 *** 0.39 0.1571 0.3998 ***
(0.99) (4.22) (0.97) (4.46)
Std. Articles Positive 0.0824 0.032 0.0827 0.0405
(0.66) (0.22) (0.65) (0.28)
Std. Articles Negative 0.1601 0.1441 0.1573 0.1327
(0.69) (0.64) (0.68) (0.60)
1{Confounded Interviews} 0.1229 0.4053 0.1355 0.3606
(0.72) (1.15) (0.85) (1.01)
constant 6.1243 -15.7975 6.6331 -16.8435 *
(1.22) (-1.5837) (1.34) (-1.6687)
Industry FE Yes Yes Yes Yes
N 6047 6047 6047 6047
Adj. R2 0.0169 0.0163 0.0181 0.016
Firm Cluster Yes Yes Yes Yes
time cluster Yes Yes Yes Yes
Panel B. CAR regressions with residual spread, residual illiquidity, and residual
firm age.
Economic Economic
Regression Regression Regression Regression
magnitude magnitude
CAR[0] ΔCAR[0] CAR[1,10] ΔCAR[1,10] CAR[0] CAR[1,10]
Viewership 0.0008 ** 0.20 -0.0014 ** -0.36
(1.97) (-2.1337)
Residual Viewership 0.0018 *** -0.0014 ***
(3.33) (-4.1295)
Residual Spread 26.174 149.3817 *** 0.40 35.1774 124.8161 ***
(0.70) (3.00) (1.00) (2.95)
1{Spread missing} 0.1375 -0.3111 * -0.16 0.1925 -0.4123 **
(0.55) (-1.7853) (0.74) (-2.4894)
Institutional Ownership 0.5169 -0.386 0.4436 -0.2142
(1.02) (-0.3448) (0.92) (-0.1848)
Avg. Turnover -9.3486 * -0.34 -19.3481 ** -0.70 -9.577 * -19.1068 **
(-1.9023) (-2.3659) (-1.9174) (-2.3664)
Residual Frim Age 0.0071 0.0167 ** 0.28 0.007 0.0174 **
(1.48) (2.34) (1.50) (2.47)
Residual Illiquidity 8.3749 -178.953 *** -0.90 4.7333 -175.584 ***
(0.25) (-4.9790) (0.14) (-4.9006)
BEME -0.1371 *** -0.23 0.1136 ** 0.19 -0.1396 *** 0.114 **
(-3.4816) (2.10) (-3.4169) (2.13)
Size: Log(MVE) -0.4228 *** -0.82 0.1582 -0.4339 *** 0.1715
(-4.7670) (1.48) (-4.9069) (1.59)
1{CEO laughed} 0.4987 -0.2756 0.4602 -0.1485
(1.62) (-0.4870) (1.53) (-0.2582)
Std. CEO Word Count -0.4969 *** -0.47 0.3099 -0.4609 *** 0.3213
(-4.3832) (1.39) (-4.5479) (1.43)
Std.CEO % Hesitate -0.2127 *** -0.21 0.1664 -0.2223 *** 0.1825 *
(-3.3543) (1.50) (-3.5764) (1.67)
Std. CEO Positive 0.3131 ** 0.28 -0.1292 0.3012 ** -0.1044
(2.18) (-0.7811) (2.09) (-0.6270)
Std. CEO Negative -0.1203 0.1833 -0.1336 * 0.2186
(-1.5047) (0.95) (-1.6829) (1.12)
Std. Anchor Word Count 0.154 0.0516 0.1637 * 0.0188
(1.58) (0.24) (1.82) (0.09)
Std. Anchor % Hesitate 0.0225 0.0891 -0.0136 0.1353
(0.27) (0.73) (-0.1711) (1.19)
Std. Anchor Positive 0.1906 * 0.18 0.0544 0.1846 * 0.0943
(1.83) (0.31) (1.72) (0.56)
Std. Anchor Negative -0.0823 0.1024 -0.0656 0.0847
(-1.3902) (0.68) (-1.0722) (0.57)
Std. Articles Word Count 0.1611 0.3968 *** 0.22 0.1593 0.406 ***
(1.00) (4.43) (0.98) (4.61)
Std. Articles Positive 0.0798 0.0393 0.081 0.0441
(0.64) (0.28) (0.64) (0.31)
Std. Articles Negative 0.1585 0.1295 0.1555 0.1207
(0.68) (0.59) (0.66) (0.56)
1{Confounded Interviews} 0.1214 0.3976 0.1347 0.3561
(0.71) (1.14) (0.85) (1.00)
constant 6.4822 -18.3616 * 6.981 -19.4055 *
(1.29) (-1.7349) (1.43) (-1.8198)
Industry FE Yes Yes Yes Yes
N 6047 6047 6047 6047
Adj. R2 0.0168 0.0155 0.0179 0.0151
Firm Cluster Yes Yes Yes Yes
time cluster Yes Yes Yes Yes
Table VI. Short-sale turnover and attention
The dependent variable is short-selling volume / total shares outstanding * 1000. 1{First time
interview} is a dummy variable that is one if the interview is the first time CNBC CEO interview
for the company. 1{Pilot} is a dummy variable that is one if the stock is in the Pilot study of the
RegSHO (no up-tick rule) and zero otherwise. CAR[0] is the cumulative abnormal return on the
day of the interview, where the return is predicted with the Carhart 4 factor model over the
window of [-150, -31]. 1{Bartiromo} is one if the interview is hosted by Maria Bartiromo, and
1{Cramer} is one if the interview is hosted by Jim Cramer. Illiquidity is mean adjusted illiquidity
measure by Amihud (2002). For each trading day, we take the absolute value of the return
divided by the total dollar volume of the stock. Then over the one-year period prior to the
interview, we take the average illiquidity of the stock and divide it by the average of the
illiquidity measure of all the stocks in the CRSP universe over the same period. 1{confounded
interview} is one if the interview is confounded by major corporate events by ten calendar days
before or after the interview. Standard errors are clustered at the firm level.
Dependent Variable: Short Turnover on the day of the interview

1{First time interview} 2.2196 *** 2.7344 *** 1.6851 * 2.1164 **
(2.60) (2.72) (1.94) (2.04)
1{Bartiromo} -0.7151 ** -0.4187 -0.719 ** -0.49
(-2.2794) (-1.2644) (-2.3274) (-1.4781)
1{Cramer} -0.5977 -0.6116 -1.2349 ** -1.205 **
(-0.9751) (-1.0086) (-2.5292) (-2.4764)
1{Bartiromo}*1{First time interview} -2.7831 ** -2.1474 *
(-2.4343) (-1.8566)
1{Cramer}*1{First time interview} 7.0895 * 6.6373 *
(1.96) (1.81)
1{Pilot stock} 0.7194 0.7199 0.7734 * 0.7703 *
(1.61) (1.61) (1.71) (1.71)
viewership 0.0005 0.0006 0.0004 0.0004
(0.48) (0.55) (0.33) (0.39)
CAR[0] 20.3341 ** 20.2387 ** 19.2787 ** 19.2724 **
(2.27) (2.28) (2.16) (2.16)
Illiquidity -71.6583 * -58.6663 -66.8291 * -57.1127
(-1.9200) (-1.5622) (-1.8444) (-1.5819)
Institutional Ownership 3.8771 *** 3.7292 *** 3.891 *** 3.7759 ***
(3.80) (3.64) (3.97) (3.84)
1{Confounded interview} 1.6018 *** 1.6219 *** 1.5118 *** 1.5331 ***
(4.59) (4.64) (4.36) (4.39)
sigma 212.6405 *** 214.9631 *** 218.7957 *** 220.1953 ***
(6.06) (6.15) (6.28) (6.34)
constant -8.6009 *** -9.0751 *** -8.02 *** -8.4229 ***
(-5.8130) (-5.7798) (-5.1953) (-5.0764)
Inidustry FE Yes Yes Yes Yes
Month FE Yes Yes Yes Yes
N 992 992 992 992
Adj.R2 0.2562 0.2591 0.2664 0.2677
Figure 1. Daily stock market indices and CNBC viewership
The figure plots the NASDAQ Composite index and the New York Stock Exchange (NYSE)
index as well as the viewership of CNBC by Nielsen Media for ten years between 1997 and 2006.
The viewership in this figure is the trading hours (9:30~4 pm Eastern Standard Time) viewership.
All measures are normalized to a value of 100 for the beginning of the sample period.
Daily Market Indices and CNBC Viewership
800.00
700.00
600.00
500.00 Tr. Hr View
400.00 NYSE
300.00 NASDAQ
200.00
100.00
-
6/2/1997
6/2/1998
6/2/1999
6/2/2000
6/2/2001
6/2/2002
6/2/2003
6/2/2004
6/2/2005
6/2/2006
Figure 2. ACAR[-10,t] of CEO interviews on CNBC by stock exchange
Panel A. All interviews Panel B. UCCE interviews
ACAR[-10,t] CEO Interview (All Sample) ACAR[-10,t] by Stock Exchange (Unconfounded Sample)
4.50% 6.00%
4.00%
5.00%
3.50%
3.00% 4.00%
2.50%
NYSEAMEX NYSEAMEX
3.00%
2.00% N=4,063 N=1184
1.50% NASDAQ NASDAQ
2.00%
N=2,872 N=1191
1.00%
0.50% 1.00%
0.00%
0.00%
0
2
4
6
8
10
12
14
16
18
20
22
24
-8
-6
-4
-2
- 10
-0.50%
0
2
4
6
8
10
12
14
16
18
20
22
24
-8
-6
-4
-2
- 10
-1.00% -1.00%
Figure 3. Diminishing marginal impact of media attention on the stock price
ACAR[-10,t] by Interveiw Count: UCCE Interviews
6.00%
5.00%
Int:1
4.00%
N=868
Int:2~3
3.00%
N=593
Int:4~9
2.00%
N=594
Int: 10~
1.00%
N=321
0.00%
0
8
10
12
14
16
18
20
-8
-6
-4
-2
-1
-1.00%
Int:1 refers to the sample of first-time interviews for a firm. Int:2~3 refers to the sample of second- and
third-time interviews. Int:4~9 refers to the sample of 4th~9th interviews for the same firm. Int:10~ refers
to the sample of 10th or more interviews for the same firm.
Figure VII. Average abnormal trading volume surrounding CEO interviews by stock exchange
Av erage and Median Share Av erage and Median Share Av erage and Median Share Turnov er
Turnov er of CEO interv iews for Turnov er of CEO interv iews for of CEO interv iews for NY SE/AMEX
NY SE/AMEX stocks - All Sample NY SE/AMEX stocks - UCCE stocks - Unconfounded
4.0 4.0 4.0

3.5 3.5 3.5
3.0 3.0 3.0
2.5 2.5 2.5
2.0 2.0 2.0
1.5 1.5 1.5
1.0 1.0 1.0
0.5 0.5 0.5
- - -
-5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5
Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO] Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO] Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO]
Av erage and Median Share Av erage and Median Share Av erage and Median Share Turnov er
Turnov er of CEO interv iews for Turnov er of CEO interv iews for of CEO interv iews for NASDAQ
NASDAQ stocks - All Sample NAS DAQ stocks - UCCE stocks - Unconfounded
4.0 4.0 4.0

3.5 3.5 3.5
3.0 3.0 3.0
2.5 2.5 2.5
2.0 2.0 2.0
1.5 1.5 1.5
1.0 1.0 1.0
0.5 0.5 0.5
- - -
-5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5
Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO] Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO] Avg[ShrTO/AvgTO] Med[ShrTO/AvgTO]
Over the estimation window of [-105,-6] trading days, we compute the average share turnover of each stock, which is trading volume divided
by the number fo shares outstanding. Then for each trading day in the event window, we divide the share turnover to obtain abnormal turnover.
Then we obtain the cross-sectional mean and median of this abnormal turnover to represent in the char.
Figure 4. Order imbalance by trade size group on CEO interview day (1997~1999)
Panel A. Panel B.
O rder Imbalance by trade size group on CEO Av erage standardized order Imbalance by trade
interv ew day size group on the day of CEO interv iews
0.012 0.40
0.30
0.010
0.20
0.008
0.10
0.006
-
0
0
/ 1000
0
0
0
00
00
00
,0
,0
0.004 (0.10)
,
,0
20
50
10
0,
$5
$5
~
0~
0~
00
<
(0.20)
>
00
00
T
,0
0.002
T
0,
0,
$5
$1
$2
(0.30)
-
0
0
00
(0.40)
0
00
00
00
00
,0
,
,0
10
20
50
(0.002)
0,
$5
(0.50)
$5
~
0~
0~
00
<
00
00
>
T
,0
T
0,
0,
(0.004) (0.60)
$5
$1
$2
All UCCE Unconfounded All UCCE Unconfounded
Panel C. Panel D.
O rder imbalance of indiv idual v s. institutional Av erage standardized order imbalance of
inv estors on CEO interv iew date indiv idual v s. institutional inv estors on CEO
interv iew date
0.012
0.40
0.010
0.30
0.008
0.20
0.006
0.10
/ 1000
0.004
-
Individual Institutional
0.002
(0.10)
- (0.20)
Individual Institutional
(0.002) (0.30)
(0.004) (0.40)
All UCCE Unconfounded All UCCE Unconfounded
N(All interviews) = 518, N(UCCE) = 227, N(Unconfounded) = 46.

Trade size groups are defined following Barber, Odean, and Zhu (2008). In the microstructure data, we
classify the trade based on the 1991 real dollar value of each trade. If the trade size cut points are $5,000,
$10,000, $20,000, and $50,000. The smallest trade size bin is labeled as ‘individual investor trades’ and
the others are labeled as ‘institutional investor trades’ in panels C and D. Buyer initiated trades and seller
initiated trades are assigned following Lee, Ready (1991) algorithm, which is using quote test then tick
test. Then for each trading day, we aggregate all the buyer (seller) initiated trades for each stock and each
trade size group. Then we compute the order imbalance for each trade size group. In order to compute
the order imbalance, we subtract the seller initiated trading dollar value from the buyer initiated trading
dollar value and divide the resulting number by the total market value of the firm (number of shares
outstanding multiplied by the end of the day stock price) for each trade size group. In panel A and C, we
compute the average order imbalance across the respective sample. For Panel B and D, we first estimate
the mean and standard deviation of order imbalance for each trade size bin over the estimation window of
[-85,11] trading day window. Then we standardize the order imbalance using the mean and standard
deviation. Then we obtain the average standardized order imbalance across the sample.
56

Appendix I.
Table A1. Event study by event window segment and subsamples
Panel A. Event study by the year
Sample year [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N

All 1997 3.0 0.58 72.6 2.46 -62.5 0.33 236
1998 474.2 1.49 16.8 0.45 70.2 0.94 240
1999 247.4 4.94 84.7 3.21 -289.0 (4.82) 715
2000 125.2 2.99 141.0 4.54 -243.7 (2.55) 721
2001 41.0 1.04 76.6 2.69 -123.3 (2.40) 942
2002 37.1 2.14 57.7 2.21 -24.1 (0.45) 1006
2003 29.1 2.27 54.8 2.01 -74.1 (2.99) 803
2004 42.1 2.16 70.7 3.00 -85.9 (3.27) 700
2005 52.4 3.57 71.4 4.62 -57.8 (2.13) 938
2006 31.9 2.11 111.4 5.24 -82.1 (2.64) 636
UCCE 1997 30.6 1.27 57.5 1.96 -114.2 (0.19) 159
1998 723.2 1.48 14.6 0.09 129.8 1.12 146
1999 453.9 3.65 27.9 1.13 -357.7 (3.36) 232
2000 148.4 1.97 142.3 3.47 -471.6 (2.85) 202
2001 101.0 1.98 45.8 0.73 -192.0 (2.31) 271
2002 48.9 1.27 85.1 2.27 -37.0 (0.75) 307
2003 35.0 0.85 76.3 1.84 -69.5 (1.93) 264
2004 93.2 1.63 156.1 2.27 -184.2 (3.46) 235
2005 47.8 1.98 34.2 1.87 -90.2 (1.88) 334
2006 -19.9 (0.86) 153.8 4.61 -86.1 (1.76) 225
57

Panel B. Event Study by day of the week and by the month
FF4F
Sample group [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N
All Weekday Monday 59.8 3.53 64.5 2.51 -125.3 (2.40) 1160
All Weekday Tuesday 70.5 4.30 64.2 4.13 -72.7 (2.14) 1468
All Weekday Wednesday 139.5 3.57 97.7 5.72 -131.2 (3.39) 1519
All Weekday Thursday 64.1 2.59 81.1 5.40 -77.7 (2.71) 1611
All Weekday Friday 78.0 2.85 84.2 4.31 -147.6 (4.54) 1171
UCCE Weekday Monday 58.4 2.70 86.9 2.19 -187.9 (2.92) 467
UCCE Weekday Tuesday 112.0 3.03 102.9 4.12 -92.7 (1.98) 498
UCCE Weekday Wednesday 271.9 1.89 85.1 3.84 -184.5 (2.44) 476
UCCE Weekday Thursday 121.4 1.47 69.0 2.52 -149.4 (2.16) 498
Unconfounded Weekday Friday 134.4 2.59 52.9 1.89 -130.9 (3.31) 430
All Month January 114.4 3.49 100.0 3.64 -132.3 (2.69) 621
All Month February 56.8 1.79 59.5 2.41 -167.3 (3.39) 624
All Month March 102.5 1.64 81.6 2.83 -185.1 (1.85) 480
All Month April 89.6 3.03 90.2 2.89 -64.5 (0.56) 717
All Month May 80.8 3.91 73.9 3.04 -163.5 (3.98) 561
All Month June 36.4 1.53 68.7 2.85 -150.2 (3.14) 618
All Month July 13.5 0.88 45.0 2.46 -48.3 (1.85) 674
All Month August 76.7 3.00 68.5 2.47 -28.4 (0.34) 539
All Month September 71.4 1.49 97.1 3.43 -26.8 (0.69) 472
All Month October 44.6 1.86 68.0 2.77 -90.8 (0.39) 676
All Month November 75.3 2.95 116.8 3.68 -99.7 (2.78) 513
All Month December 314.9 1.74 88.4 2.37 -152.8 (2.13) 442
UCCE Month January 149.4 2.58 209.5 3.35 -216.6 (2.10) 182
UCCE Month February 44.5 0.76 -4.5 0.62 -91.6 (1.38) 197
UCCE Month March 24.8 (1.00) 39.9 1.27 -209.5 (1.04) 205
UCCE Month April 297.1 2.95 170.6 1.60 -259.7 (2.19) 150
UCCE Month May 151.6 3.41 62.5 1.56 -299.2 (3.76) 177
UCCE Month June 77.6 2.10 55.4 2.76 -162.0 (2.15) 310
UCCE Month July 9.5 0.35 7.9 0.91 -137.2 (1.93) 140
UCCE Month August 156.1 2.54 93.9 2.45 -22.1 (0.03) 181
UCCE Month September 94.9 1.55 50.8 1.72 -77.1 (1.00) 239
UCCE Month October 42.8 1.25 71.5 1.22 -133.8 (0.60) 186
UCCE Month November 69.9 1.84 121.2 2.86 -21.6 (1.14) 200
UCCE Month December 577.2 1.26 100.1 2.39 -185.5 (2.70) 208
58

Panel C. Interview time segment and stock price response
[-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N

All Sample Day Segment 78.5 4.36 72.7 7.93 -77.3 -3.60 4809
Evening (Next Day) 69.1 3.82 105.4 6.85 -137.1 -4.81 2128
Unconfounded Day Segment 158.1 2.97 53.1 3.98 -110.7 -3.13 1616
Evening (Next Day) 54.9 1.48 140.7 4.89 -186.6 -4.29 759
Pure Interviews Day Segment 31.3 1.53 61.8 2.09 -65.4 -1.31 253
Evening (Next Day) 36.3 0.49 133.2 3.13 -264.9 -1.95 75
Panel D: Subsamples by firm size quintile
Exchange Size Quintile [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N

NYSE/AMEX Small -195.3 -1.79 62.0 1.21 -111.2 -1.52 165
2 15.7 0.56 113.9 2.99 -96.5 -1.36 282
3 55.2 3.41 91.1 4.38 -48.2 -1.26 529
4 21.7 1.67 68.3 4.04 -28.3 -1.15 900
Large 11.4 1.51 31.9 3.59 -43.5 -3.07 2179
NASDAQ Small 486.7 1.83 227.6 5.13 -197.4 -3.01 546

2 229.9 4.93 132.2 3.07 -213.7 -3.57 510
3 104.6 2.53 137.8 3.02 -163.2 -2.74 536
4 108.1 2.85 164.6 3.8 -131.6 -2.22 496
Large -20.2 -1.09 4.8 0.18 -132.6 -3.26 778
Panel E. Confounding events and stock price response by stock exchange
Exchange Confounding Event [-2,-1] t(BMP) [0] t(BMP) [1,10] t(BMP) N

NYSE/AMEX Earnings Announcement 17.2 1.89 83.6 6.55 -30.0 -1.72 1826
Mergers 18.0 1.77 46.8 3.40 -49.5 -2.55 1371
NASDAQ Earnings Announcement 70.8 2.97 117.1 4.28 -130.4 -3.59 1129
Mergers 117.6 3.00 131.1 2.99 -160.4 -3.20 588
59

Appendix II. Does the investor base increase after CEO interviews on CNBC?
Media-driven attention represented by CEO interviews on CNBC may increase
the awareness of investors, even thought the actual information content is ignorable. As
long as the investor base increases, Merton’s (1987) theory predicts that the shadow cost
of information, which is an important component of expected stock return, decreases
under the assumption of incomplete information capital market. If this is the case, the
stock price would jump with the CEO interviews on CNBC in a permanent fashion. We
investigated this possibility by running the same event study by the quintile of a proxy for
the investor awareness. The number of analysts covering a stock is often used as a proxy
for the investor base (Bowen, Xia, and Cheng, 2008; Bushan and O’Brien 1999; and Liu,
Sherman, and Zhang, 2008). Yet, it may be mechanically correlated with the
characteristics of the firm, such as the size.
Following O’Brien and Bushan (1990) and the literature, we consider various
controls that are known to be highly correlated with the number of analysts covering the
stock. The number of analysts would be high if a firm size is large, and more analysts
will follow if idiosyncratic risk is high. Since the tech boom in late 1990s, NASDAQ
firms and tech stocks would have more analysts following. Analysts would be less likely
to follow firms in regulated industries (O’Brien and Bushan 1990). In addition, analyst
coverage would be significantly associated with past performance, which is proxied by
the daily alpha of the Carhart 4 factor model over the estimation window of [-150, -31]
trading days. Also, interpreting analysts as information conduits to outside investors,
firms that are covered by larger number of analysts would have low degree of
information asymmetry. Thus, we control for the degree of information asymmetry,
which is proxied by both the PIN (probability of informed trading) and effective spread
60

from the TAQ data. We also control for the time trend to capture any increasing or
decreasing trend of analyst coverage over the sample period. The regression results are
in Panel A, and the model fit measured by the adjuted R-square is 0.51. Here, we obtain
the residuals and divide the sample by the quintile of this residual. For the unconfounded
sample, we run the same event study of the abnormal return as in previous sections, and
display the result on Appendix Figure 1.
Panel A. Predicting Analyst Coverage as a Proxy for Investor Awareness
Dependent Variable: # Analysts Prior to Interview

Size: Log(MVE) 3.52614 ***
(49.06)
Idiosyncratic volatility 48.22096 ***
(4.71)
1{Nasdaq} 2.38148 ***
(8.76)
1{Tech Stock} 1.25975 ***
(4.94)
1{Regulated Industry} -2.85886 ***
(-6.02)
FF4F ALPHA -294.81643 ***
(-6.7)
PIN -7.0527 ***
(-3.53)
Effective Spread -9.7047 ***
(-5.85)
Year Trend 0.00345
(.06)
Intercept -17.1202 ***
(-18.01)
Adj R-Sq 0.5071
N 3,707
OLS regression. Dependent variable is the number of analysts covering the stock prior to the
interview, and is obtained from I/B/E/S. Size is the log of market value of equity (share price *
shares outstanding) as of the fiscal yeaqr end prior to the interivew. Idiosyncratic volatility is the
root mean squared error of Cahhart four factor model over the estimation window of [-150, -31]
61

traidng days prior to interivews. 1{Nasdaq} is the dummy variable where the value is one if the
company is traded in Nasdaq. 1{Tech Stock} is a dummy variable that is unity if Fama-French
49 industry classification numbers of the company is 22, 32, 35, 36, or 37 (Electrical
Equipment, Telecommunication, Computer Hardware, Computer Software, and Chips
and Electronic Equipment, respectively). 1{Regulated indstry} is a dummy variable that is
unity if the 3 digit SIC code is 421, 483, 493, 612, 621, 633, 805, or 809. FF4F ALPHA is the alpha
of Carhart four factor model over the estimation window of [-150, -31] trading days before the
interview. PIN is the measure of probability of informed trading by Easley and O’Hara (1997)
estimated over the window of [-80,-11] trading day prior to interview. Effective spread is the
average of the median bid ask spread divided by the midpoint of the bid price and ask price trade
by trade in each trading day over the estimation window of [-80,11] trading days. We divided the
residual analyst coverage into quintiles and ran an event study by different quintiles.
Appendix Figure 1. Do CEO Interviews Increase Investor Awareness for Relatively Less-
Known Firms?
ACAR[-10,t] by Residual4 Analyst Coverage Quintile:

Unconfounded Sample
5.00%
4.00%
3.00% R1:N=267
2.00% R2:N=277
1.00%
R3:N=253
0.00% R4:N=247
10
12
14
16
18
20
0
8
-8
-6
-4
-2
-1
-1.00% R5:N=189
-2.00%
-3.00%
62

Appendix Figure 2. Abnormal trading volume surrounding CEO interviews by stock exchange
A. Av erage or Median Standardized B. Av erage or Median Standardized C. Av erage or Median Standardized
Abnormal Share Turnov er NY SE/AMEX , Abnormal Share Turnov er NY SE/AMEX , Abnormal Share Turnov er NY SE/AMEX ,
All Interv iews Unconfounded Interv iews Pure Interv iews
300% 300% 300%
250% 250% 250%
200% 200% 200%
150% 150% 150%
100% 100% 100%
50% 50% 50%
0% 0% 0%
-5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5
-50% -50% -50%
ASTV_NYSE MedSTV_NYSE ASTV_NYSE MedSTV_NYSE ASTV_NYSE MedSTV_NYSE
D. Av erage or Median Standardized E. Av erage or Median Standardized F. Av erage or Median Standardized

Abnormal Share Turnov er NASDAQ , Abnormal Share Turnov er NASDAQ , Abnormal Share Turnov er NASDAQ ,
All Interv iews Unconfounded Interv iews Pure Interv iews
300% 300% 300%
250% 250% 250%
200% 200% 200%
150% 150% 150%
100% 100% 100%
50% 50% 50%
0% 0% 0%
-5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5 -5 -4 -3 -2 -1 0 1 2 3 4 5
-50% -50% -50%
ASTV_NASDAQ MedSTV_NASDAQ ASTV_NASDAQ MedSTV_NASDAQ ASTV_NASDAQ MedSTV_NASDAQ
63

Appendix Figure 3. Abnormal Trading Volume by Trade Size Group for Different Samples
Panel A. Share Volume Based Analysis Following Barber and Odean (2008) - Interviews taken in 1997~1999
Std.Abn.Buy er Initiated $ Vol. Std.Abn.Buy er Initiated $ Vol. Std.Abn.Buy er Initiated $ Vol.
by Trade Size Group: by Trade Size Group: by Trade Size Group:
All Sample, 97~99 Unconfounded Sample, 97~99 Cleanest Sample, 97~99
3.0 3.0 3.0
2.5 2.5 2.5
2.0
2.0 2.0
1.5
1.5 1.5
1.0
1.0 1.0
0.5
0.5 0.5
-
-8
-6
-4
-2
10
0
8
- -
-1
(0.5)
0
0
-8
-6
-4
-2
10
-8
-6
-4
-2
10
0
8
-1
-1
(0.5) (0.5) (1.0)
as tans 1buy val as tans 3buy val as tans 1buy val as tans 3buy val as tans 1buy val as tans 3buy val
as tans 5buy val as tans 5buy val as tans 5buy val
Std.Abn.Seller Initiated $ Vol. Std.Abn.Seller Initiated $ Vol. Std.Abn.Seller Initiated $ Vol.

All Sample, 97~99 Unconfounded Sample, 97~99 Cleanest Sample, 97~99
3.0 3.0 3.0
2.5 2.5 2.5
2.0 2.0 2.0
1.5 1.5 1.5
1.0 1.0 1.0
0.5 0.5 0.5
- - -
0
-8
-6
-4
-2
10
0
-8
-6
-4
-2
10
-8
-6
-4
-2
10
0
8
-1
-1
-1
(0.5) (0.5) (0.5)
as tans 1s ellval as tans 3s ellval as tans 1s ellval as tans 3s ellval as tans 1s ellval as tans 3s ellval
as tans 5s ellval as tans 5s ellval as tans 5s ellval
Red lines with triangles: average standardized abnormal trade count of small trades, each trade size of which in 1991 dollars is less than or equal to
$5,000. Purple lines with circles: average standardized abnormal trade count of medium trades, each trade size of which in 1991 dollars is between
$10,000 and 20,000. Blue lines with square boxes: average standardized abnormal trade count of large trades, each trade size of which in 1991
dollars is greater than $50,000. The horizontal axis is the trading days relative to the interview day. On each trading day, if the average
standardized abnormal trade count is significantly different from zero with a t-statistic of 1.96, we marked it with colored dots with respective
shapes.
64

Panel B. Share Volume Based Analysis Following Griffin, Harris, Topalogulu (2003) Classification - Interviews taken in 1997~1999
Std.Abn.Buy er Initiated Volume Std.Abn.Buy er Initiated Volume Std.Abn.Buy er Initiated Volume
All Sample 97~99 Unconfounded Sample 97~99 Cleanest Sample 97~99
3.0 3.0 3.0
2.5 2.5 2.5
2.0 2.0
2.0
1.5 1.5
1.5
1.0 1.0
1.0
0.5 0.5
0.5
- -
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
0
1
2
3
4
5
6
7
8
9
10
-
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
(0.5) (0.5)
Std.Abn.Seller Initiated Volume Std.Abn.Seller Initiated Volume Std.Abn.Seller Initiated Volume

All Sample 97~99 Unconfounded Sample 97~99 Cleanest Sample 97~99
3.0 3.0 3.0
2.5 2.5 2.5
2.0 2.0
2.0
1.5 1.5
1.5
1.0 1.0
1.0
0.5 0.5
0.5
- -
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
-
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
(0.5) (0.5)
The average standardized trading volume is presented with color-filled dots if it is statistically significant (t-stat >= 1.64), and is not dotted
otherwise. The average standardized trading volumes of buys and sells of large-sized trades are represented by blue-dashed lines, whereas those of
small-sized trades (individual investors) are represented by red solid lines. We followed Griffin, Harris, and Topaloglu (2003) in classifying the
trades into small- (<= 500 shares), medium-, and large- (> 10,000 shares) sized groups.
65

Appendix III. Sensitivity of CEO interview based trading returns to trading cost assumptions
Daily risk-adjusted returns (Alpha) from CEO interview based trading strategies are shown in the table.
We use Carhart (1997) 4 factor model to account for the impact coming from contemporaneous market,
size, book-to-market, and momentum factors. In short [1,3 (2)] strategy, we form equal weighted
portfolio of the firms that had CEO interviews on the trading day 0 and short sell the stocks on the trading
day 1. Then we buy back the stocks on trading day 3 (2) and rebalance the portfolio. In Long[-2,0]
(Long[0]) Short[1,2] strategy, we form equal weighted portfolio of stocks that are preannounced to have
interviews on day 0 and buy the stocks at the end of the trading day -3 (-1). Then we sell the stock at the
end of the day 0 and rebalance the portfolio. Then on the next trading day (1), we short sell the stock and
buy back the stock on the following trading day (2). T-statistics are shown in every second row.
Panel A. Excess return by calendar portfolio method
Strategy Short [1,3] Short [1,2]

Sample Period 1997~2001 2002~2006 1997~2006 1997~2001 2002~2006 1997~2006
Daily Alpha 0.452% -0.001% 0.202% 0.796% 0.012% 0.363%
3.81 (0.01) 3.22 5.76 0.16 4.79
BETARMF -1.05 -1.04 -1.03 -1.00 -1.09 -1.05
(6.35) (16.08) (13.95) (5.03) (13.01) (11.80)
BETASMB -0.66 -0.37 -0.53 -0.49 -0.18 -0.40
(3.37) (3.04) (4.92) (2.15) (1.15) (3.07)
BETAHML 0.35 0.14 0.37 0.41 -0.11 0.28
1.40 0.79 2.81 1.39 (0.50) 1.83
BETAUMD -0.33 -0.17 -0.28 -0.28 -0.25 -0.28
(2.95) (1.77) (3.87) (2.19) (1.99) (3.30)
Strategy Long[-2,0] Short[1,2] Long[0] Short[1,2]

Sample Period 1997~2001 2002~2006 1997~2006 1997~2001 2002~2006 1997~2006
Daily Alpha 1.044% 0.240% 0.614% 0.653% 0.259% 0.436%
4.83 7.31 6.01 5.84 5.72 7.70
BETARMF 0.06 0.30 0.20 -0.28 -0.34 -0.33
0.19 8.11 1.64 (1.83) (6.84) (4.94)
BETASMB 0.15 0.13 0.19 -0.01 0.00 -0.02
0.43 2.00 1.08 (0.05) 0.04 (0.19)
BETAHML -0.36 0.05 -0.16 0.38 0.11 0.30
(0.80) 0.55 (0.77) 1.65 0.84 2.57
BETAUMD -0.02 0.03 0.01 -0.19 -0.11 -0.17
(0.12) 0.56 0.05 (1.90) (1.46) (2.75)
66

Panel B. All CEO interviews
Transaction Short[1,2] Long[-2,0]/Short[1,2]* Long[0]/Short[1,2]*

Cost (bps) 1997-2001 2002-2006 1997-2001 2002-2006 1997-2001 2002-2006
0 bp 131.26% 8.55% 1289.13% 83.04% 417.75% 92.22%
2 125.50 5.85 1,267.98 80.28 406.97 88.22
4 119.89 3.21 1,247.15 77.56 396.41 84.30
6 114.42 0.64 1,226.64 74.89 386.08 80.46
8 109.08 -1.86 1,206.44 72.25 375.96 76.70
10 103.88 -4.30 1,186.55 69.65 366.05 73.02
12 98.81 -6.69 1,166.96 67.09 356.34 69.42
14 93.86 -9.01 1,147.67 64.57 346.84 65.89
16 89.03 -11.27 1,128.68 62.09 337.54 62.44
18 84.33 -13.48 1,109.97 59.65 328.43 59.05
20 79.74 -15.63 1,091.55 57.24 319.51 55.74
*Transaction cost of Long –Short strategies are assumed to be 1.5 times that of simple short strategies.
Panel C. Annualized abnormal returns (%) of various trading strategies based on CEO Interviews
by Jim Cramer
Long[-2,0] Long[0]
Trading Strategy: Short[1,10] Short[1,3] Short[1,2]
Short[1,2]* Short[1,2]*
Transaction Cost
0 bp 11.06% 37.21% 60.24% 224.94% 270.71%
2 10.49 34.94 56.25 220.06 262.99
4 9.91 32.70 52.36 215.25 255.43
6 9.34 30.50 48.57 210.52 248.03
8 8.77 28.33 44.88 205.86 240.78
10 8.21 26.20 41.27 201.27 233.69
12 7.64 24.11 37.75 196.74 226.74
14 7.08 22.05 34.33 192.29 219.94
16 6.53 20.02 30.98 187.90 213.27
18 5.97 18.03 27.72 183.58 206.75
20 5.42 16.07 24.55 179.32 200.36
*Transaction cost of Long –Short strategies are assumed to be 1.5 times that of simple short strategies.
67

Panel D. Annualized abnormal returns (%) of different trading strategies based on First time CEO
interviews only
All First Time Interview Short[1,2] Long[0] Short[1,2]

Transaction Cost 1997-2001 2002-2007 1997-2001 2002-2006
0 bp 367.17% 12.22% 511.67% 238.28%
2 355.54 9.43 498.87 231.16
4 344.21 6.71 486.34 224.20
6 333.15 4.05 474.08 217.37
8 322.37 1.46 462.07 210.69
10 311.86 -1.06 450.31 204.16
12 301.61 -3.53 438.80 197.76
14 291.62 -5.93 427.53 191.49
16 281.87 -8.27 416.50 185.36
18 272.37 -10.55 405.69 179.35
20 263.10 -12.78 395.11 173.47
22 254.07 -14.95 384.76 167.72
24 245.26 -17.06 374.62 162.09
26 236.67 -19.13 364.69 156.57
28 228.29 -21.14 354.97 151.17
30 220.12 -23.10 345.45 145.89
32 212.15 -25.02 336.13 140.71
34 204.38 -26.88 327.01 135.65
36 196.81 -28.70 318.08 130.69
38 189.42 -30.48 309.33 125.83
40 182.22 -32.21 300.77 121.08
68

Appendix Figure 4. Sensitivity of the profitability of the trading strategy upon transaction cost: Jim
Cramer’s CEO interviews
Sensitiv ity of the profitability of the trading strategies upon

transaction cost: CEO interv iews with Jim Cramer
(2002~2006)
300.00%
250.00%
Long[0]
Short[1,2]*
Annualized Return
200.00% Long[-2,0]
Short[1,2]*
Short[1,2]
150.00%
Short[1,3]
100.00%
Short[1,10]
50.00%
0.00%
0 5 10 15 20 25
Round-Trip Transaction Cost: basis points
69

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CEO Interviews on CNBC

Young Han Kim2

Jan 21st, 2011

JEL classifications: G14, G12.

Electronic copy available at: http://ssrn.com/abstract=1745085

transitory manner by stimulating enthusiastic individual investors.

Electronic copy available at: http://ssrn.com/abstract=1745085

relationship between media-generated attention and security prices. We document a significant

corporate events nor by any news articles.

We examine alternative explanations of these findings by discussing whether the

competing hypotheses. Section VI concludes our analysis.

Electronic copy available at: http://ssrn.com/abstract=1745085

Engelberg, and Gao, 2010; Engelberg, Sasseville, and Williams, 2010).

response to the direct measure of attention to the multimedia, the viewership.

attention drawing non-verbal meta-communications such as confident appearance (laughter) and

are connected in a coherent manner.

U.S. stock exchanges is associated with increased visibility as measured by numbers of

response and a 70% larger post-earnings announcement drift.

address these points in detail below.

B.1. Large Audience

rapidly because in competitive markets, information is instantaneously incorporated into stock

analogous behavior in response to CEO interviews5.

B.2. Managerial Optimism

interviews on CNBC can be viewed as an attention grabbing “burst of optimism.”7

B.3. Perceived versus Actual Information Content of CEO Interviews

materially from those in the forward-looking statement” (15 U.S.C. 77z-2(c)(1)(A)(i))8.

more technical conference calls directed at analysts.

CNBC having no significant impact on stock prices.

contaminated by informational events such as merger or earnings announcements. In such a case,

or effective dates of mergers as an acquirer or a target; (2) announcement dates of stock

(UCCE interviews, hereafter).

following Tetlock (2007).

positive in the interview.

[Table I about here]

the firms are low book-to-market (growth) firms.

IV.A. Event Study

[Table II about here]

across all samples.

companies he would discuss in the coming week.

report the event study results in row 5 to 12 in Table II.

[Figure 1 and 2 about here]

statistically insignificant yet positive +9 bps.

Telecommunication, Computer Hardware, Computer Software, and Chips and Electronic

confounded by merger announcements or earnings announcements in the appendix.

IV.B. Trading Activity

standard deviation from the estimation window.

Over the cross-sectional distribution of the standardized three-day turnover, we determine

function of the degree of investor disagreement as in Miller (1977).

IV.C. Attention vs. Information content of CEO interviews

assumption of diminishing marginal attention to interviews: Investor attention to an interview

significant price response.

[Figure 3 about here]

we document is driven by qualitative information, not attention, disseminated in various forms

controlling for information content and informational environment of the stock.

ignored in this analysis.

IV.C.2. Capturing Information through Content Analysis of the Interviews

“Negativ,” which stands for positive, and negative, respectively.