Media Coverage and the Cross-section of Stock Returns
By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news. We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that s...
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| Veröffentlicht in: | The Journal of finance (New York) 2009-10, Vol.64 (5), p.2023-2052 |
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| container_title | The Journal of finance (New York) |
| container_volume | 64 |
| creator | FANG, LILY PERESS, JOEL |
| description | By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news. We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk factors. These results are more pronounced among small stocks and stocks with high individual ownership, low analyst following, and high idiosyncratic volatility. Our findings suggest that the breadth of information dissemination affects stock returns. |
| doi_str_mv | 10.1111/j.1540-6261.2009.01493.x |
| format | Article |
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| ispartof | The Journal of finance (New York), 2009-10, Vol.64 (5), p.2023-2052 |
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| language | eng |
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| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Analytical forecasting Correlation analysis Expected returns Financial economics Financial information Financial portfolios Information dissemination Investors Journalism Liquidity Mass media Media Media coverage News Securities prices Stock exchanges Stock ownership Stock prices Stocks Studies Volatility |
| title | Media Coverage and the Cross-section of Stock Returns |
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