Abstract

http://ssrn.com/abstract=1633705
 
 

References (22)



 


 



Media and Investment Management


Gideon Ozik


EDHEC Business School

Ronnie Sadka


Boston College - Carroll School of Management

March 24, 2012


Abstract:     
This paper studies the relation between the media coverage of funds and their future performance. We classify news items about equity hedge funds over 1999--2008 into three source groups: General newspapers, Specialized magazines, and Corporate Communication. Examining post-exclusive-coverage performance, we document that Corporate-covered funds outperform and General-covered funds underperform, with a performance difference of about 11% annually. Applying a textual analysis to news items, we find that sentiment-related biases do not explain the inter-source return spread. Nevertheless, investor fund flow does not differentially respond to source-based information. The results suggest that the source-based return spread may reflect the extensive costs of processing information across thousands of media sources to generate alpha.

Number of Pages in PDF File: 32

Keywords: Media coverage, Hedge funds, Financial information, Asset pricing

JEL Classification: D80, G14, G20

working papers series





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Date posted: July 4, 2010 ; Last revised: March 26, 2012

Suggested Citation

Ozik, Gideon and Sadka, Ronnie, Media and Investment Management (March 24, 2012). Available at SSRN: http://ssrn.com/abstract=1633705 or http://dx.doi.org/10.2139/ssrn.1633705

Contact Information

Gideon Ozik
EDHEC Business School ( email )
Nice
France
Ronnie Sadka (Contact Author)
Boston College - Carroll School of Management ( email )
140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
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