THE IMPACT OF PUBLIC INFORMATION ON THE STOCK-MARKET

We study the relation between the number of news announcements reporte d daily by Dow Jones & Company and aggregate measures of securities ma rket activity including trading volume and market returns. We find tha t the number of Dow Jones announcements and market activity are direct ly related and that the results are robust to the addition of factors previously found to influence financial markets such as day-of-the-wee k dummy variables, news importance as proxied by large New York Times headlines and major macroeconomic announcements, and non-information s ources of market activity as measured by dividend capture and triple w itching trading. However, the observed relation between news and marke t activity is not particularly strong and the patterns in news announc ements do not explain the day-of-the-week seasonalities in market acti vity. Our analysis of the Dow Jones database confirms the difficulty o f linking volume and volatility to observed measures of information.