Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks
Lily H. Fang
INSEAD - Finance; Massachusetts Institute of Technology (MIT) - Sloan School of Management
Shanghai University of Finance and Economics
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
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.
Date posted: December 2, 2011 ; Last revised: November 27, 2014
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