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http://ssrn.com/abstract=1967084
 
 

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Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks


Lily H. Fang


INSEAD - Finance

Huiping Zhang


Shanghai University of Finance and Economics

Jun Qian


Shanghai Advanced Institute of Finance(SAIF), Shanghai Jiao Tong University; University of Pennsylvania - Wharton Financial Institutions Center; China Academy of Financial Research (CAFR)

November 8, 2014

INSEAD Working Paper No. 2011/124/FIN

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.

Number of Pages in PDF File: 38

Keywords: Media, retail investors, trading, liquidity, return.

JEL Classification: G14, G12, G02.

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Date posted: December 2, 2011 ; Last revised: November 27, 2014

Suggested Citation

Fang, Lily H. and Zhang, Huiping and Qian, Jun, Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks (November 8, 2014). INSEAD Working Paper No. 2011/124/FIN. Available at SSRN: http://ssrn.com/abstract=1967084 or http://dx.doi.org/10.2139/ssrn.1967084

Contact Information

Lily H. Fang (Contact Author)
INSEAD - Finance ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
Huiping Zhang
Shanghai University of Finance and Economics ( email )
777 Guoding Road
Shanghai, Shanghai 200433
China
Jun Qian
Shanghai Advanced Institute of Finance(SAIF), Shanghai Jiao Tong University ( email )
211 West Huaihai Road
Shanghai, 200030
China
86-21-62934520 (Phone)
86-21-62934572 (Fax)
HOME PAGE: http://www.saif.sjtu.edu.cn/en/professors/2101
University of Pennsylvania - Wharton Financial Institutions Center
2306 Steinberg Hall-Dietrich Hall
Philadelphia, PA 19104
United States
HOME PAGE: http://fic.wharton.upenn.edu/fic/
China Academy of Financial Research (CAFR)
1954 Huashan Road
Shanghai P.R.China, 200030
China

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