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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)

January 28, 2012

INSEAD Working Paper No. 2011/124/FIN

Abstract:     
Using a novel, hand-collected dataset of a popular financial TV show and intra-day trading data from China, we compare the trading, liquidity, and returns of on-the-show and off-the-show stocks from the same industry. Employing a difference-in-difference approach, we find that off-the-show stocks experience significantly greater improvements in liquidity with higher trading volume and lower bid-ask spreads after the show. These improvements are mostly attributed to small trades. Both on-the-show and off-the-show stocks experience positive abnormal returns that do not reverse one month after the show, and the return gap between these stocks before the show disappears. There is some evidence that small traders profit more from buying off-the-show stocks than on-the-show stocks after the show. Overall, our evidence suggests that media coverage facilitates price discovery, and retail investors, as a group, behave rationally and are not as naïve as typically thought in their reaction to news from mass media.

Number of Pages in PDF File: 45

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

JEL Classification: G14, G12, G15

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Date posted: December 2, 2011 ; Last revised: March 15, 2012

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 (January 28, 2012). 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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