Working Paper: CEPR ID: DP9169
Authors: Ruben Enikolopov; Maria Petrova; Konstantin Sonin
Abstract: Though new media has become a popular source of information, it is less clear whether or not they have a real impact on economic activity. In authoritarian regimes, where the traditional media are not free, this impact might be especially pronounced. We study consequences of blog postings of a popular Russian anti-corruption blogger and shareholder activist Alexei Navalny on the stock prices of state-controlled companies. In an event-study analysis, we find a negative effect of company-related blog postings on both daily abnormal returns and within-day 5-minute returns. To cope with identification problem, we use the incidence of distributed denial-of-services (DDoS) attacks as a variable that negatively affects blog postings, but is orthogonal to other determinants of asset prices. There is a substantial positive effect of the DDoS attacks on abnormal returns of the companies Navalny wrote about, and this effect is increasing in amount of his attention to these companies. the effect is decreasing in attention to posts of other top bloggers, increasing in visitors? attention to Navalny?s posts, and is consistent with more pronounced individual, in contrast to institutional, trading. Finally, there are long-term effects of certain types of posts on stock returns, trading volume, and volatility. Overall, our evidence implies that blog postings about corruption in state-controlled companies have a negative causal impact on stock performance of these companies.
Keywords: Alexei Navalny; blogs; corruption; political economy; Russia
JEL Codes: L82; L86; P16
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Blog postings by Alexei Navalny (Y70) | Daily abnormal returns of state-controlled companies (G34) |
| DDoS attacks (K24) | Daily abnormal returns of state-controlled companies (G34) |
| Blog postings by Alexei Navalny (Y70) | Stock performance of state-controlled companies (G38) |
| DDoS attacks (K24) | Stock performance of state-controlled companies (G38) |
| Blog postings by Alexei Navalny (Y70) | Volatility of stock returns (G17) |
| Blog postings by Alexei Navalny (Y70) | Trading volume (G15) |