Out of the Limelight But in Play: Trading and Liquidity of Media and Off-Media Stocks

38 Pages Posted: 2 Dec 2011 Last revised: 27 Nov 2014

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)

Multiple version iconThere are 3 versions of this paper

Date Written: November 8, 2014

Abstract

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

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

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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