Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks
38 Pages Posted: 2 Dec 2011 Last revised: 27 Nov 2014
There are 3 versions of this paper
Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks
Out of the Limelight but in Play: Trading and Liquidity of Media and Off-Media Stocks
Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks
Date Written: November 8, 2014
Abstract
Using hand-collected TV programming data and intra-day trading from China, we compare the trading, liquidity, and returns of on-show and off-show stocks in the same sector. Our difference-in-difference analysis reveals that post-show, off-show stocks experience significant improvements in liquidity that is attributable to small trades. The pre-show return gap between the on-show and off-show stocks closes post-show, and there is no return reversal. We show that retail investors’ focus on off-show stocks could reflect a lack of media trust. Overall, our evidence suggests that media coverage facilitate price discovery and retail investors appear to respond rationally to media coverage.
Keywords: Media, retail investors, trading, liquidity, return.
JEL Classification: G14, G12, G02.
Suggested Citation: Suggested Citation
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