38 Pages Posted: 2 Dec 2011 Last revised: 27 Nov 2014
Date Written: November 8, 2014
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.
Keywords: Media, retail investors, trading, liquidity, return.
JEL Classification: G14, G12, G02.
Suggested Citation: 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 (November 8, 2014). INSEAD Working Paper No. 2011/124/FIN. Available at SSRN: https://ssrn.com/abstract=1967084 or http://dx.doi.org/10.2139/ssrn.1967084