Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance


Address for correspondence: Helmut Lütkepohl, European University Institute, Florence, EUI, Department of Economics, Via della Piazzuola 43, I-50133 Firenze, Italy. Tel.: + 39 055 4685 971; fax: + 39 055 4685 902; e-mail:


Abstract. This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.