Media and Investment Management

32 Pages Posted: 4 Jul 2010 Last revised: 26 Mar 2012

See all articles by Gideon Ozik

Gideon Ozik

EDHEC Business School

Ronnie Sadka

Boston College - Carroll School of Management

Date Written: March 24, 2012

Abstract

This paper studies the relation between the media coverage of funds and their future performance. We classify news items about equity hedge funds over 1999--2008 into three source groups: General newspapers, Specialized magazines, and Corporate Communication. Examining post-exclusive-coverage performance, we document that Corporate-covered funds outperform and General-covered funds underperform, with a performance difference of about 11% annually. Applying a textual analysis to news items, we find that sentiment-related biases do not explain the inter-source return spread. Nevertheless, investor fund flow does not differentially respond to source-based information. The results suggest that the source-based return spread may reflect the extensive costs of processing information across thousands of media sources to generate alpha.

Keywords: Media coverage, Hedge funds, Financial information, Asset pricing

JEL Classification: D80, G14, G20

Suggested Citation

Ozik, Gideon and Sadka, Ronnie, Media and Investment Management (March 24, 2012). Available at SSRN: https://ssrn.com/abstract=1633705 or http://dx.doi.org/10.2139/ssrn.1633705

Gideon Ozik

EDHEC Business School ( email )

Nice
France

Ronnie Sadka (Contact Author)

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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