Abstract

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Media Coverage and the Cross-Section of Stock Returns


Lily H. Fang


INSEAD - Finance; Massachusetts Institute of Technology (MIT) - Sloan School of Management

Joel Peress


INSEAD - Finance

June 5, 2008

The Journal of Finance, Vol. 64, No. 5, pp. 2023-2052, 2009
AFA 2009 San Francisco Meetings Paper

Abstract:     
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


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Date posted: March 21, 2007 ; Last revised: November 8, 2011

Suggested Citation

Fang, Lily H. and Peress, Joel, Media Coverage and the Cross-Section of Stock Returns (June 5, 2008). The Journal of Finance, Vol. 64, No. 5, pp. 2023-2052, 2009; AFA 2009 San Francisco Meetings Paper. Available at SSRN: http://ssrn.com/abstract=971202 or http://dx.doi.org/10.2139/ssrn.971202

Contact Information

Lily H. Fang (Contact Author)
INSEAD - Finance ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
77 Massachusetts Ave.
E62-416
Cambridge, MA 02142
United States
Joel Peress
INSEAD - Finance ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 60 72 40 00 (Phone)
+33 1 60 72 40 45 (Fax)
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