Media Coverage and the Cross-Section of Stock Returns
Lily H. Fang
INSEAD - Finance; Massachusetts Institute of Technology (MIT) - Sloan School of Management
INSEAD - Finance
June 5, 2008
The Journal of Finance, Vol. 64, No. 5, pp. 2023-2052, 2009
AFA 2009 San Francisco Meetings Paper
By reaching a broad population of investors, mass media can alleviate informational frictions and affect security pricing even if it does not supply genuine news. We investigate this hypothesis by studying the cross-sectional relation between media coverage and expected stock returns. We find that stocks with no media coverage earn higher returns than stocks with high media coverage even after controlling for well-known risk-factors. These results are more pronounced among small stocks and stocks with high individual ownership, low analyst following, and high idiosyncratic volatility. Our findings suggest that the breadth of information dissemination affects stock returns.
Number of Pages in PDF File: 45
Keywords: role of media in finance, information, Cross-Section of Stock Returns, alpha
JEL Classification: G12, G14
Date posted: March 21, 2007 ; Last revised: November 8, 2011
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