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Electronic copy available at: http://ssrn.com/abstract=1745085 CEO Interviews on CNBC Felix Meschke 1  Young Han Kim 2  Jan 21 st , 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 signifi cant 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 aft er 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, [email protected], (347) 433-5495 Summerfield, 118-G, 1300 Sunnyside Avenue, Lawrence, KS 66045-7585, USA. 2 Nanyang Business School, NTU, [email protected], 65+6790-4639. We thank Raj esh 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 Busines s School and SKKU-MIT, and an anonymous referee fo r 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 t he excellent research assista nce of Young Jae Choi, Young Ok Kwon, and Vimal Singh. All errors belong to the authors.

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