Media and Google: The Impact of Information Supply and Demand on Stock Returns

33 Pages Posted: 18 Mar 2013 Last revised: 5 Aug 2018

See all articles by Yanbo Wang

Yanbo Wang

Sungkyunkwan University (SKK) Graduate School of Business

Date Written: July 2018

Abstract

Media news is a proxy for attention from the information supply side, and the Google search is a proxy for attention from the information demand side. I show that that the attention has the biggest impact on financial markets when the supply side attention and demand side attention move in the same direction. A portfolio of buying stocks with both attentions up and short-selling stocks with both down generates 17% annual abnormal returns. The finding indicates that media is important to financial market only when the investors are willing to be affected. Furthermore, the attention measure is less subject to the estimation bias.

Keywords: Stock returns, Information Supply and Demand, Estimation Bias, Media, Google, News, Search Volume, Awareness, Learning

JEL Classification: G12, G14

Suggested Citation

Wang, Yanbo, Media and Google: The Impact of Information Supply and Demand on Stock Returns (July 2018). Available at SSRN: https://ssrn.com/abstract=2180409 or http://dx.doi.org/10.2139/ssrn.2180409

Yanbo Wang (Contact Author)

Sungkyunkwan University (SKK) Graduate School of Business ( email )

53 Myeongnyun-dong 3-ga Jongno-ju
Guro-gu
Seoul, 110-745
Korea, Republic of (South Korea)

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